you get Leagues A, B, C and D in Master League as default, and the computer picks the teams in random, so you might get Arsenal and Real Madrid in the same league!
But you can unlock the option (2000 WEN) which lets you select every single team in the leagues at the start of ML - I would recommend you to unlock that before you start your ML, if you want realism,
I also like the new League Mode, where you can choose from all the European leagues: English, French, German, Dutch, Italian, and Spanish top leagues to play. And yes, for once, if you want to get away from the complicated schedules of ML, the can just play the Premier League (with all 20 teams) on its own!