It's amazing what you learn once you get home and really take a look at what you photographed.
This is a small statuette/memorial for the victims of a failed assassination attempt made upon
the wedding party of King Alfonso XIII and his bride, Queen Victoria Eugenie, on their wedding day, May 31, 1906.
It is located on Calle Mayor at the intersection of Calle del Sacramento.
Wiki tells us: "The attacker, Mateu Morral, acting on a desire to spur revolution, threw a bomb concealed
in a floral bouquet from a Madrid hotel window as the King's procession passed,
killing 24 bystanders and soldiers and wounding over 100 others, while leaving the royals unscathed."