Image Credit: Emerson Miller/Paramount+ The Madison is Taylor Sheridan's latest neo-western to hit Paramount+. Outside of the Yellowstone television universe, the new show is set in Montana and stars Michelle Pfeiffer in a main role. But the series actually begins in one of the biggest cities in the world: New York. The Clyburn family is rooted in the Big Apple but learns how to adapt to the countryside after suffering from a tragic loss at the beginning of season 1.