In the case of Spain, many long distance roads are no longer safe for pedestrians as there are cars on them now. Madrid to Milan would be a suicide missions in current day.
This is a Street View link to Via Augusta, one of the oldest roads between Spain and Italy (8 to 2 BC). It’s not walkable anymore. There isn’t an alternative footpath. You might hike on the beach and climb the rocks in between but that is significantly harder than cobblestones.