Diego Costa – now there's a potential darts partner for Kieran Trippier, although he points out 'a lot of people are in trouble if he's got darts' – has christened him Rooney.
'The language barrier is difficult,' he admits. 'You have to make sure you get involved. I try to speak a little bit of Spanish and I might say the odd daft word but it doesn't matter.'
'I think he calls me it because it's the first name that comes into his head. Now everywhere I go, even in the warm-up, everyone's shouting Rooney at me. '
It's planted a doubt in his mind: 'I don't think I do. Do you think I look like Rooney?'
The welcome has helped him settle. 'I have never experienced an atmosphere at a club like this before,' he says. 'Except with England because we have got that real bond. And that comes from Gareth, as here it comes from Cholo.'
The supporters, who have also welcomed him, knew who he was before he arrived, thanks in large part to his World Cup semi-final goal against Croatia.
'Even though I scored in that game I feel like the most important one for me was the Colombia match,' he says.
'We had meetings before that game just to be ready. You saw with Harry Kane's penalty they were kicking the spot, little things like that. They wanted to try to get one of us sent off.
'It's game management from their side. And I understand what they are trying to do but I thought we dealt with it excellently.'
England's game in Bulgaria last month was another example of Southgate having prepared his players.
'We had meetings. Gareth and the staff are perfect. He got us prepared if anything happened,' Trippier says.
'It was horrendous for me to witness. My dad's mixed race, my brothers too. It's not nice. I thought we dealt with it in the right way. We punished them on the pitch.'
Southgate was doubtless not just looking out for Trippier when he backed his idea of moving to La Liga.
He knew it would potentially give him a more complete player at his disposal. The importance of keeping the ball certainly seems more ingrained.
'Last season I was maybe putting the ball in the box for the sake of it,' he says bringing up a recent Alvaro Morata goal scored in part because Trippier played a short pass to keep possession.
Another change for him will be having the festive period off this year – perfect timing for the Darts World Championship maybe?
'I'm gutted I can't go,' he says. 'It's true we have a winter break here but I have to take the family away for Christmas.'
They have made sacrifices too and he's grateful for that. For the moment it's paying off. There's a huddle of supporters at the training ground gates and he stops for photos before driving away.
This trip to Madrid is going well. He gaining from it and so are England.