At Madrid airport, check-in for all flights (including Air Nostrum) is located on Level 2 in Terminal 4.
This means that you can check in any Iberia desk that is open, irrespective of your destination.
The check-in area is divided into two separate areas, one for Business class and one for Economy class.
There are also 48 self-service kiosks for checking in with or without baggage. 

The Air Shuttle has its own check-in area which is accessed directly from the T4 entrance at Madrid airport and from the Barcelona-Madrid Corridor in Terminal 1 at Barcelona airport.