Loneliness is an inevitable byproduct of moving to a new country and you ought to get used to spending Saturday nights with a pizza and reruns of friends, big bang theory and what not.
Or that's at least what most people think would be the likely scenario when making a decision with regards to relocating to a foreign country. Now while such a situation is certainly not uncommon, you don't have to be boxed into such a binary model of a hermit's life.
Even if you absolutely have no friends or even a clue about Madrid, Spain or whichever country you've decided to pursue your TEFL career in, there are still many ways for you to make new friends and keep yourself social as well as stimulated. While you could count yourself lucky if you could forge close friendships such as back home, you can still meet people, go out to cultural events, have interesting conversations and enjoy your life; all you need is a little bit of initiative.
Meet up groups are perfect for getting together with people who have similar mindsets and interests. There's a meet up group in almost every town and they are normally centered on shared interests in an activity like sports, language, etc.
These meet up groups make plans for group activities as well, such as hiking, picnics, etc which are sure to draw you away from the couch. And it's very likely that most of the other folks in the group are curious to know you, since you're foreign to the country, which only enhances your prospects of socializing and making friends.
If you want to get together with people from back home, expat groups are your go to clubs. Most people in expat groups have experience in moving to the country and will only be more than willing to help you settle in. It's also a great way to network and get to know about the city and inhabitants.
Follow a passion/hobby
Have you always wanted to learn the guitar or prefer sweating it out in the gym? Well just pick up a hobby and not only will you be pursuing something enjoyable but will meet new people who share your interests. There are many clubs/groups which cater to specific hobbies like cycling, painting, team sports, etc as well.
You could also join classes, for instance Spanish language classes, or dance classes. Here you'll be learning a whole new skill while meeting fellow students. Sharing an experience always forges a strong rapport amongst people.
Open yourself up
Don't be closed in and shed your inhibitions. Allow yourself to explore new places and experiences, even stuff that you're not very comfortable in. Opening yourself up to people can be intimidating but that's the only way you'll meet more people and it'll become easier as time goes on.
So don't be nervous and let your hair down.