In this work, sampling was carried out in the urban area of Madrid to analyze the content of total heavy metals (Zn, Pb, Cu, Cr, Ni, and Cd) in the street dust. Contamination was evaluated using various indices, such as the Contamination Factor (CF), Enrichment Factor (EF), Geo-accumulation Index (Igeo), Potential Ecological Risk Index (RI), Pollution Load Index (PLI), the Human Health Index Hazard Index (HI), and Cancer Risk (CR). Pollution indices were related to traffic density and color. Traffic density was the factor that most influenced the values of the pollution indexes, but no significant differences were found with the color of street dust. The concentration of heavy metals in the urban dust of Madrid had the following sequence: Zn (895) > Cu (411) > Pb (290) > Cr (100) > Ni (42) > Cd (1.25 mg kg−1). The pollution levels were high or very high in Pb, Zn, and Cd regarding the environmental pollution indexes. Ingestion was the main route of exposure to heavy metals contained in street dust. The CR for adults and children is less than 1 × 10−6, which means that there is no risk for the population. However, the HI was 10 times higher in children than in adults.