Carrying blue-and-yellow flags, banners and drums, Boca fans welcomed the squad after its last practice session before the final. The supporters cheered when the bus arrived and players waved to them.
Dressed in red and white, River fans later gathered in the city center, taking over the Plaza del Sol as they chanted the team's traditional songs.
Both teams had closed practice sessions in the last day of preparations for the final, which was moved to Madrid after fan violence marred the second leg in Buenos Aires two weeks ago. Boca Juniors players were injured before the match when River fans attacked the Boca team bus with rocks, bottles and wood. The first leg, hosted by Boca in Buenos Aires, ended in a 2-2 draw.
"Hopefully we will enjoy some of the atmosphere that we would have had with the match in Argentina," said Nacho Sorroche, a Boca fan who lives in Madrid. "We know it's not going to be exactly the same, but I think it will be a great environment."
Boca's latest attempt to be declared champion without playing on Sunday failed when the Court of Arbitration for Sport denied its request to suspend the second leg. Boca appealed to CAS on Friday after South American soccer governing body CONMEBOL ruled against disqualifying River from the tournament because of what happened in Buenos Aires.
Nearly 80,000 fans are expected at the Bernabeu, with supporters from each club placed at opposite sides of the stadium. There will also be separate fan zones prepared for them near the Bernabeu.
Spanish authorities were on high alert as a group of 400 to 500 violent Argentine fans were expected in Madrid. Officials said almost 4,000 security personnel would be deployed for Sunday's "high risk" match, nearly double the number used in the "clasicos" between Real Madrid and Barcelona.
Directors from both clubs were expected at a dinner at the Bernabeu on Saturday night, along with Real Madrid president Florentino Perez and FIFA President Gianni Infantino.
Boca is seeking its seventh Copa Libertadores title, which would tie Argentina's Independiente as the competition's most successful club. Boca's last continental trophy was won in 2007.
River is a three-time Copa winner, with its latest victory coming in 2015. The Argentine giants had never previously met in the final.
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