Videos posted on social media show football fans gathered in a litter-strewn square and officers in riot gear, wearing helmets and wielding batons.
A photograph on Twitter shows a man with a blood-stained face and a bandage wrapped around his head, while a video features a man with an English accent chanting “Gibraltar is ours”.
At least three people were taken into custody after the brief confrontation at Madrid’s Plaza Mayor, the Associated Press reported.
The trouble began when police tried to disperse some of the few hundred Leicester fans at the plaza, prompting a group to start throwing beer bottles at the officers.
Authorities said there were no reports of serious injuries, as fans at the plaza said some people were taken into ambulances for treatment.
Earlier, Spanish police said they detained eight Leicester fans for public disorder on Tuesday night after authorities said they disrespected officers and caused problems.
Spanish media said two officers and three fans sustained minor injuries in that incident.
Leicester fans outside the stadium described the clashes as “handbags”, adding that tear gas was used, with one describing the police as “intimidating”.
Another fan, who said there were “about five or six big bangs”, added: “On the whole it was okay, but we did scarper out quite quickly earlier on when the police decided to throw rubber bullets at us.”
Alcohol was to blame, according to one fan, who said: “It was just too much drink they’ve had.”