The working title for this film was The House of Troy, after Alejandro Pérez Lugín’s 1915 novel, La Casa de la Troya, on which it was based. The16 June 1929 Film Daily announced that Metro-Goldwyn-Mayer Corp. had acquired screen rights to the novel as a possible starring vehicle for Ramón Novarro. The studio planned to make an English-language and Spanish-language version, and Novarro was slated to star in both, according to the 13 November 1929 Variety, which named Dorothy Jordan as Novarro’s co-star in the English-language picture, and Ethlyne Clair as part of the supporting cast. While Robert Z. Leonard was attached to direct in English, no director for the Spanish version had yet been chosen. By mid-November 1929, filming had begun under Leonard’s direction at M-G-M’s studio in Culver City, CA, as reported in the 18 November 1929 Film Daily. For dancing sequences, a twelve-year-old Spanish fandango dancer named Margarita Bolado was brought on to supervise, according to the 8 January 1930 Exhibitors Daily Review and Motion Pictures Today, which called her “the youngest technical director in the film industry.”
       The 13 March 1930 Exhibitors Daily Review and Motion Pictures Today announced a title change to Gay Madrid, although later items and reviews listed it as In Gay Madrid.
       Nacio Herb Brown and Arthur Freed were initially hired to write music and lyrics, as noted in the 5 October 1929 Motion Picture News. The 6 November 1929 Variety indicated that screenwriter Earl Baldwin was hired to work on the script, and Ethelind Terry and Josef Swickard were listed as cast members in November 1929 issues of Variety and Film Daily.