The Delaunays travelled to Spain in 1914, staying with friends in Madrid. At the outbreak of the First World War in 1914 Sonia and Robert were staying in Fontarabie, with their son still in Madrid. They decided not to return to France.[11] In August 1915 they moved to Portugal where they shared a home with Samuel Halpert and Eduardo Viana.[12] With Viana and their friends Amadeo de Souza-Cardoso, whom the Delaunays had already met in Paris,[13] and José de Almada Negreiros they discussed an artistic partnership.[14] In Portugal she painted Marché au Minho (the market at Minho, 1916), which she later says was "inspired by the beauty of the country".[15] Sonia had a solo exhibition in Stockholm (1916).
The Russian Revolution brought an end to the financial support Sonia received from her family in Russia, and a different source of income was needed. In 1917 the Delaunays met Sergei Diaghilev in Madrid. Sonia designed costumes for his production of Cleopatra (stage design by Robert Delaunay) and for the performance of Aida in Barcelona. In Madrid she decorated the Petit Casino (a nightclub) and founded Casa Sonia, selling her designs for interior decoration and fashion, with a branch in Bilbao.[16] She was the center of a Madrid Salon.[17]
Sonia Delaunay travelled to Paris twice in 1920 looking for opportunities in the fashion business,[18] and in August she wrote a letter to Paul Poiret stating she wanted to expand her business and include some of his designs. Poiret declined, claiming she had copied designs from his Ateliers de Martine and was married to a French deserter (Robert).[19] Galerie der Sturm in Berlin showed works by Sonia and Robert from their Portuguese period the same year.[20]