When the royal family left to exile, first they lived in Paris and then, for a short time, Ena and Alfonso lived in Rome.

Then the couple split and Ena moved to Switzerland where she bought la Villa Vieille Fontaine in the outskirts of Lausanne.

The picture you are referring to is probably the christening of Felipe, prince of Asturias.
Ena and the Count of Barcelona were his godparents.
It was the first (and only) time Ena returned to Spain after leaving to exile.