The recently created Madrid Foot Ball Club (1902) was set up on a large piece of land next to the old bullring. Owned by Queen Cristina, it was leased for 150 pesetas a year. Fans flocked there to watch the first official matches. An adjoining building, the tavern, La Taurina, served as a dressing room and storage space. Owned by the Padrós brothers, it was used for the players to change and to store the goalposts. 

The passage of time and the growing number of fans led to the need for a new venue. A larger venue to accommodate so many avid football fans. Madrid's next destination, O'Donnell, became the most modern stadium in the city. For the first time, a fence separated players and spectators to prevent encroachment. The construction of stands, with two grandstands, brought the capacity to 6,000 seats. 

For several years, the O'Donnell Stadium was the venue where the Whites' first wins were celebrated, later giving way to two new locations: the Velodrome and Viejo Chamartín.