I love SPD pedals. But they're puzzling, because it's not obvious how to service them, other than keeping them clean and the release mechanisms (the bindings) oiled. So, here's a little post about servicing them. This is the PD-M520 bog standard pedal:
First thing to note is that the pedal unit (green arrow above) is screwed on to a splined threaded barrel (red arrow above, labelled (2) in the exploded view below). The splined threaded barrel goes over the metal axle. On the PD-M520, the barrel is made of PLASTIC! So if you try to use pliers to turn it, the splines will disintegrate (which may not be a huge problem if they are only ruined on two opposing faces, because you can still get enough purchase to tighten and loosen them again). Really though, it's best to use the proper tool, (11) below. Be sure to observe the arrow directions for loosening and tightening. You hold the pedal in one hand (easier to hold it in a cloth) and unscrew the splined barrel.
I opened mine up and below is a photo. From L to R, the splined threaded barrel is shown located on the metal axle. Then there's a dished washer, a bush with ballrace cups on both circumferences, a cone nut and a locking nut. It looks like there are twelve tiny balls each side (I didn't measure them but Shimano tech docs say 3/32"). Also, shown in the exploded view above, there's a thin rubber ring seal around the axle just under the spline. Obviously to keep water and crud out.
After cleaning it all up, I reassembled in the following sequence. Load up one side of the bushing (see below, on the right). Then pack some grease around the cone on the axle (see arrow below). Then, using a cocktail stick, press all 12 balls down onto the greased axle cone, and gently slide on the loaded bushing - unloaded face first of course. Then carefully spin on the cone nut, being careful not to dislodge the loaded balls and then the tiny lock nut.
Spend a few moments adjusting the bearing tension by turning the cone nut and locking the nuts down to each other. It's the usual game of trying to adjust the lock nut system to get free spinning movement with minimum (no perceptible) play. Slap on grease wherever there are parts rotating against each other. In total, it took me about 20 minutes to renovate a pedal that was grinding, hardly turning, into one that now spins freely. It's very clever, because the metal bushing which press fits into the pedal unit, seems to take all the load. Whirr!