The Spanish Colonies declared their independence after many years of incompetent governments (and after all their Wealth was exploited), the last colony to declare its independence was Cuba, in 1898.
At the beginning of the 20th century some local territories demanded autonomous governments --especially Catalonia and the Basque Country. The international depression in the 30's and the socialist demands favored Francisco Franco's coup, which triggered the Spanish Civil War (1936 -1939). Aided by Hitler and Mussolini (before the World War II) and by the American government (After the World War II), Franco ruled Spain until his death in 1975.
Since then Spain is a Constitutional Democracy. The building you're seeing now is the Spanish Parliament.