One of the singer's recent shows in Madrid received an unexpected guest ... caught on video at the Estadio Santiago Bernabéu in the middle of Swift's song "Delicate." As you can see, this creepy thing (which looks like a human) is standing at the very top, alone.

While Tay's singing her heart out below, the audience member who filmed this pans upward ... catching the outline of an apparent person swaying along near the stadium's roof.

Watch ... the mysterious humanoid seems to be locked in on the performance, watching the show -- so it's definitely a Swiftie who had access to a restricted area of the stadium.

Still, people online are cracking jokes and tossing out other guesses as to who (or what) this could be ... and it's all the usual kooky stuff. Aliens, ghosts, a Phantom of the Bernabéu -- ya know, the whole nine yards.

As for Taylor ... unclear if she's aware of the alleged specter who has taken an interest in her -- but, she's long gone from Madrid at this point, heading to Edinburgh for a few shows this weekend and hitting Liverpool next weekend.