COVID-19 pandemic has rapidly spread worldwide. Spain has suffered one of the largest nationwide bursts, particularly in the highly populated areas of Madrid and Barcelona (two of the five largest conurbations in Europe). We used segmented regression analyses to identify shifts in the evolution of the effective reproduction number (Rt) reported for 16 Spanish administrative regions. We associate these breaking points with a timeline of key containment measures taken by national and regional governments, applying time lags for the time from contagion to case detection, with their associated errors. Results show an early decrease of Rt that preceded the nationwide lockdown; a generalized, sharp decrease in Rt associated with such lockdown; a low impact of the strengthened lockdown, with a flattening of Rt evolution in high-incidence regions, and even increases in Rt at low-incidence regions; and an increase in Rt associated to the relaxation of the lockdown measures in ten regions. These results evidence the importance of generalized lockdown measures to contain COVID-19 spread, and the limited effect of the subsequent application of a stricter lockdown (restrictions to all non-essential economic activities). Most importantly, they highlight the importance of maintaining strong social distancing measures and strengthening public health control during lockdown de-escalation.