The Mercedes driver set the pace in first practice at the Madring - a street-circuit style track built around an exhibition centre near the Spanish capital's airport.
"I would put this as a circuit that has less margin than Monaco," said Russell, who was 0.286 seconds faster than team-mate Kimi Antonelli in second place. "Purely because of the speed.
"In Monaco, the walls are closer, but because you're going far slower, if you make a mistake, you're not into the wall as quickly, and you can recover it sometimes, a small lock-up. "
Russell was speaking a couple of hours before a practice session that ran incident-free.
A few drivers brushed the wall, including Ferrari's Lewis Hamilton and Aston Martin's Fernando Alonso, but no-one damaged their car.
Russell said: "There's a lot of really fast corners, but the barrier is kind of like coming back onto the track. So, if you are to go wide and hit the wall, you're not hitting it kind of at the same angle as the car is going. The wall is sort of coming in at you. "
"Another element of the challenge here, which probably won't cause major crashes, but I think there'll be a lot of lock-ups," said Russell.
"You've got three corners where you're turning and braking, and if you lock up, the wall is right in front of you, which is very reminiscent of the corner in Baku - Turn 15. "
There is also a section of high-speed swerves, Russell said, which is similar to the fast Jeddah street track in Saudi Arabia.
Ferrari set the pace on the medium tyres in the first part of Friday's opening session but they could not match the pace of the Mercedes on the soft compound.
Leclerc was third fastest - 0.459secs off Russell and just ahead of Hamilton - with Red Bull's Max Verstappen fifth and McLaren's Lando Norris' sixth.
Racing Bulls' Arvid Lindblad, Mclaren's Oscar Piastri, Audi's Nico Hulkenberg and Red Bull's Liam Lawson completed the top 10.
