To the north of Madrid lies the "Sierra de Guadarrama", a mountain chain reaching almost 2500 meters (8200 ft) at its highest point. The Sierra is a haven for walkers, hikers and climbers, with numerous marked routes of varying difficulty. Helpful information and topographical maps can be obtained at many of the map shops in Madrid. In winter, when there is enough snow, skiing is possible at the resorts of "Cotos", " Novacerrada", and "Valdesquí", though their proximity to Madrid makes them very crowded. During summer many of the small villages in the mountains fill up with Madrileños seeking to escape the intense heat in the city.

A special branch of the Cercanías trains (line number C9) serves a number of the mountain villages, travelling from Cercedilla to Cotos. Many of the stops along the way are ideal places from which to begin a day's outing. Cercedilla itself is reached from Madrid on line number C8b from either Atocha or Chamartín.

A word of advice: purchase the ticket for the entire journey in Madrid, since the ticket for a short trip along the Cercedilla to Cotos route costs almost as much at the whole journey from Madrid to Cotos.