Generally yeah. It's also a lot more convenient to just stay in one hotel in Madrid the whole time.

I would recommend taking a bus to Segovia over the train though. The slow train station is walkable to the historic center, but the train takes a long time and has low frequency and the high speed train would require a local bus connection that may be a bit tricky if you aren't well up to speed on your Spanish. The bus company you want is La Sepulvedana and it leaves from Moncloa. It only costs just over 8€ each way, too.