Good Madrid evening paseo streets

Walk the Gran Vía, but if you are really interested in just people watching, the pedestrian only area between the Callao metro stop and the Puerta del Sol is one place to go. The Plaza Mayor is nice for people watching. As those areas are popular with tourists, they are popular for pickpockets too.

Other streets could include Calle Atocha or Calle Santa Isabel from Atocha/Reina Sofía up to the Plaza Mayor. Retiro Park is also a popular place for evening walks.

Boulevards like Paseo del Prado are not as popular.

Where you walk will probably be determined by your lodging’s location.

Calle Jorga Juan
Calle Goya
Calle Serrano

Those are much. more elegant and less touristy than the Gran Via and that neighborhood

For a little grittier experience, try around the Lavapies metro station. Lots of alt-style hangouts

I’d say walking through the Retiro, or walking south from Sol or the Sevilla metro stop area to Lavapies.