Day Trip(s) from Madrid

I haven't been to Avila, which is a little farther from Madrid than the other two. With just one, I'd pick Toledo for the variety of things to see there, including El Grecos, the Visigoth museum, the cathedral, and the synagogue. But Segovia's Roman aqueduct blew me away. If you're into big Roman sites, this is one of the best. If not, Toledo.

My opinion, Segovia is a little more compact and easier to see in a day. Toledo
is more spread out and has more options for wandering and getting lost, which
may or may not be a good thing on a day trip. Maybe more hills as well.

Taking the bus to Segovia puts you right downtown, but takes longer than the
train, but the train station is out in the boonies and you need to take a bus to get
into the city.

The train station in Toledo is ~1km away from the city and is at the bottom of the
hill, but you can take a local bus from the station right up to the Plaza de Zocodover
or beyond.

Personally, I think Toledo should be an overnight or two. There is so much to see there. IMO, Segovia is just perfect for a day trip. There is plenty to do, yet you can see it all in a day. It is gorgeous and definitely worth seeing.

I haven't been to Avila though I'd like to go. It is a bit farther than Toledo and Segovia.

EDITED TO ADD:
Toledo can be crowded like many places in Spain and Europe. It was really pleasant in the morning and late afternoon/evening after the day trippers leave.

To me Avila is a wall and not much else, so I'd rank it behind not only Toledo and Segovia but also Cuenca and Alcala de Henares. Cuenca requires taking an express train, and that ticket will be quite expensive if bought at the last minute, so Cuenca's not suitable as a spur-of-the-moment destination for anyone who cares about cost. In addition, Cuenca's AVE station is located well outside of town, requiring a taxi or local-bus ride, and I don't know how often the buses run. Alcala de Henares is reached via commuter train from Madrid, so it's easy and cheap.

Both Toledo and Segovia are worthy day trips. The previous posts have highlighted the factors worth considering. I'll just add that the rail fare to Toledo is fixed, so you don't need to worry that your transportation cost will escalate if you make a last-minute decision; however, the trains between Madrid and Toledo sometimes sell out, so that's something you need to be careful about. Rick especially warns about that issue with trains returning to Madrid. In a pinch you can use buses rather than trains between Madrid and Toledo, but the buses are a lot slower and do not run from Atocha Station. You'd probably need to take the Metro to/from the bus station, likely adding to the transportation time required if you end up on a bus because Toledo trains are sold out.

We took day trips to both Segovia and Toledo on separate days - August 2022
Both, IMHO, were fantastic - we (as a family of 3) really enjoyed these.

We took the train to Segovia from Madrid Chamartín Station - it took about 1.5 hours, I think. Make sure you buy round trip tickets.
Once there you need to take a bus to town -- note : bus takes ONLY cash for fare, so keep Euros handy.
Once in town you can self-walk, take a guided tour, whatever suits you. It is a charming medieval town.
Go early .. you will have plenty to enjoy until the evening when you can reverse the journey back to Madrid.

For Toledo - taking a bus tour is more convenient as they take you right in the town and there is guide on the bus. Our hotel (Hotel Regina .. lovely hotel close to Madrid Atocha station) arranged the trip for 25 Euros per person - which was very reasonable. As with Segovia, Toledo is another charming place and you can spend all day in this charming town. In the evening, bus will bring you back to Madrid.

Happy Travels !