Arrive MAD - then straight to Toledo or Seville?

It is a gamble or can be very expensive to buy and try to fly on a separate ticket to Seville. So maybe take the train to Seville. it will take about 5 hours.

Since it appears you won’t be driving, then going directly to Sevilla makes more sense to me. By doing that, you could easily spend your last night in Toledo. That would help eliminate any issues if something went wrong with the Granada-Madrid train if you took that option. There are plenty of trains from Toledo to Madrid and since your flight is very late, you wouldn’t need to leave Toledo early in the morning. In Toledo we normally stay at Hotel María Cristina not in the historic center where you might want to stay.

When buying your flight ticket, buy it to Sevilla. That way you won’t be on a separate ticket from Madrid to Sevilla and your bags will be checked through to Sevilla from your originating airport. Where you acclimate won’t matter since you’ll be having a good time no matter which city you’re in.
For my wife and I, for a flight departure day both Sevilla and Granada are too far away for our risk tolerance.

There's a lot to be said for using your jetlag day to get to a distant destination since you may not be good for much, anyway. Have you considered starting in Granada instead? It takes longer to get there by train than to Seville, so it would save a bit more train time later in the trip if you flew there. In any case, if you've already purchased a round-trip ticket to Madrid, the issue you have is figuring out what is a safe amount of time to allow between scheduled arrival time in Madrid and departure time for the domestic flight. I have no answer there.

The advantage of starting in Toledo is that you don't have to guess whether your flight will be delayed. You can just go to the airport train station and buy a ticket to Toledo (changing at Madrid-Atocha). I think it's very unlikely you'd run into full trains to Toledo on a Sunday morning in late September, but I can't guarantee that. The trains are not super-frequent; there seem to be departures at 6:50 AM, 7:50, 9:20, 10:20, 11:20, 12:20 PM, 1:50, 3:50, 5:50 and 7:50. There are buses to Toledo as well (not departing from Atocha Station, and slower), so that would be a non-costly back-up plan.

I think there's a lot more to see in Toledo than in Segovia, but Segovia is also a very worthwhile destination and would be suitable for your first night.

I would be nervous sightseeing in Granada the day of a departure from Madrid-Barajas. There's a 5:20 PM train on the weekday schedule. It arrives at Atocha station at 9:45 PM, and then you'd have to get to the airport. I think that's too late for a midnight departure (is that an intra-EU flight?). There's also the non-zero possibility that the last train would be late or canceled. The previous departure from Granada is at 1:20 PM, which would really not give you much sightseeing time that day by the time you allow for storing and retrieving luggage.

Trains from Seville back to Madrid are a lot more frequent, and most are faster. I am risk-averse and would be uncomfortable being in Seville on departure day, but I think reversing the trip and ending up with the Seville-Madrid travel leg would be a better option. That's assuming there are still Alhambra tickets available for what would be your new dates of stay in Granada.

For your arrival day, In terms of budget, Toledo. In terms of everything else, Sevilla. For our trip a few years back, we did not prepurchase the train ticket from Madrid to Sevilla. We were happy we didn't. We ended up arriving early and breezed thru immigration so we left for Sevilla at about 7am, slept a bit on the way and arrived to Sevilla ready for a fun day. It cost us maybe $40 to not prepurchase the train ticket. We felt it too risky (I would say more so now). If we had chosen to prepurchase the tickets, we would have built in a buffer. Not prepurchasing ended up allowing us to get to Sevilla earlier. Train travel was easy. We took the train from the airport and changed to another train at Atocha. The train gets you right into the heart of Sevilla.

I feel similarly about a flight. The only way I would consider prepurchasing the train or air travel would be if I stayed overnight and took the train/flight the next day.

If I recall correctly, to get to Segovia or Toledo requires passing through Madrid, just in case that affects your end-of-trip plans in any way.
You have a much earlier flight than I did, but I found the fast train to Cordoba to be the ideal way to start off my trip. If you are planning on staying in Cordoba any, it's long enough to nap on the train, but not an onerous journey for a sleep deprived state. I would not want to kill a couple of hours in order to book a safe second flight.

Brian,
On our last trip to Spain, my 80+ mom and I saved Toledo to the end of the trip & it worked out great for us.
We actually took the train to Córdoba on our day of arrival, then after a few days, we took a bus to Granada, before going to Sevilla.

You may consider this route to avoid a long trek from Granada to Madrid.

Edited to add:
If you decide to visit Toledo at the end of your trip, you may consider leaving some of your luggage at Atocha’s train station.

Since you’re arriving at 5:10a and the next flight to Granada departs just before noon on Sep 26, I understand why you would fly into Sevilla instead. Especially since there’s a 7:40a flight to Sevilla on Iberia for $51. I say go for it.

We use the synergy of already being at the airport to continue our journey to another destination. The connection to Seville is easy BUT YOU MUST learn how to navigate the airport without passing out of the security zone of the terminal and needlessly re-entering. I am concerned that needing to purchase another ticket may force you to pickup your checked luggage and then recheck in for the next leg. Our travels use open jaw where we fly through Madrid, or Barcelona, and then continue onto the final destination under one purchased ticket and confirmation number. Please carefully research this issue by posting an appropriate question on this Spain travel forum to capture the expertise of fellow travelers.

Thanks all for the helpful feedback (late response myself due to hectic few days).

The $50 flight to Sevilla mentioned seems best. We arrive early am so immigration may be quick (coworkers recent trip there was the case), no checked bags, 2nd flight backup if we miss the connection, and cheap flight cost is easy to swallow if we do miss it. We would book as one reservation but will be on different airlines.

Toledo at trip end works to be striking distance of airport rather than traveling from farther out reducing concerns voiced.

Side note -we live in Uruguay (home 4 months so far) which is why flight times look odd. Spain is about the only travel option here now - which is OK since 2 years ago while living in Japan I was planning this same trip but COVID halted that.

Many airlines' tickets are now being sold without change fees (but you do have t pay any fare difference.)

I'd suggest you look at changing your international itinerary to include the connection to Seville. Traveling on the same ticket will provide valuable protection.

So I just did that because I had to head to Sevilla.
I recommend the AVE high speed train(2 hours 30 minutes). You should and can buy and reserve online .
The prices around $60 euro-$100 and the trains fill up quickly.
I like taking the train because theres plenty of space to walk and go to the cafeteria
car and eat a snack. If you fly it is faster but I had a huge luggage and those cheaper airlines
charge alot to check a bag . The train does not charge anything for your luggage.

Just be aware that if you buy the train ticket in advance, and you miss it because your plane is late/delayed or flights changed, there are no refunds. Just a guess, but I would think the trains would be less busy early in the morning, that certainly was the case for us. If you want to purchase the train tickets in advance, I'd buy them for the day after you arrive and stay in Madrid or Toledo for the night.

Kinda wet in Toledo now - https://twitter.com/ianbremmer/status/1433489525758742528