I think there is a dojo somewhere between Armenia an Scalabrini Ortiz. Possibly on Honduras, I have not been down there for a while, sorry I cannot be more definite, but I do remember it is on the right hand side walking from Scalabrini.
Depending on where you are in Palermo Soho there's one that may or may not be worth the walk to -- on Boul Chenaut between Campos and Baez. If you're near Sta Fe it's only about a 10 min walk. I'm not sure what martial arts you're interested in -- they have muay thai, capoeira, I've seen kid's karate classes so I assume they have adult as well, and I think they have some kung fu.
There's a gym off Luis Maria Campos at about 500 where they have TKD, jujutsu, capoeira etc. but at least the capoeira classes where quite poor. It might be the same Syngirl mentioned. If you're into capoeira I'd recomend Asociacion Argentina de Capoeira on Padilla 1008 in Villa Crespo instead.
There's also a gym on Campos at about 200 where they have TKD and some other martial arts, walk on the right hand side up from Santa Fe and you'll find it.