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The Oratory of Caballero de Gracia is one of the best hidden architectural treasures in Madrid. This church looks small from the outside, since its door is boxed into a corner on Gran Vía, but inside it unfolds into a neoclassical temple by Juan de Villanueva, which looks like a Roman basilica.

Among its most noteworthy internal features are the single-piece granite columns, the vault and the sculptures of the Virgen del Socorro, signed by Francisco Elías in 1825, and of Cristo de la Agonía, which, according to studies, was made by Juan Sánchez Barba in 1650. The church belongs to the Caballero de Gracia Eucharistic Association, founded by Jacobo Gratii (known as the Caballero de Gracia), who was born in Modena in 1517 and who died in Madrid in 1619. It is currently run by Opus Dei.