There was one weekend in Madrid when it was a scorching 100F. Most people would escape to the coast or go to one of the swimming pools in Madrid. Here are some swimming options in the city:

• Casa de Campo: I went here and loved it. Link here.
  • Features: There are two pools (one side for kids), a cloakroom / coat check (no lockers), great food area (extremely cheap and pretty tasty) and drinks.You select and purchase your food via the vending-looking-machine when you enter. After you get the ticket, approach the counter and give them the ticket.
  • Price: It is fairly cheap to go because you can buy a day pass (6 euros) or longer-term pass, and you can either bring your own food and drinks or purchase at the cafe.
  • Why go: Great for a half day activity since you can swim, relax / hangout on the grass, and grab a bite to eat.
• List of pool options and phone numbers (though not sure all of them are active): Link here.