The EU's executive declined to comment when contacted by AFP on Monday.
Competition Commissioner Joaquin Almunia announced in April that the complaints concerned Barcelona, Real Madrid, Athletic Bilbao, Osasuna (Pamplona), Valencia, Hercules (Alicante) and Elche.
Foreign Minister Jose Manuel Garcia-Margallo told a press briefing after talks with EU colleagues on Monday the government in Madrid had been informed of a comprehensive inquiry.
It would be the first step to a procedure for violation of EU rules and could lead to sanctions if these rules were in fact broken.
Madrid appeared concerned about the consequences of the Brussels decision and Garcia-Margallo said the government would "defend the clubs to the end".
"As far as I know there was nothing illegal," said the minister.
"But I am concerned about the prejudice that the clubs may suffer."
The focus of the investigation is on whether the tax rate imposed on Real Madrid, FC Barcelona, Athletic Bilbao and Osasuna complies with European law.
Brussels is also looking into loans granted by the Valencian Community to Valencia, Hercules and Elche.
And Almunia wants the investigation to clarify whether or not Real Madrid and Athletic Bilbao real estate operations were proper.
This is the second time this year that Spain's professional football leagues are under scrutiny for alleged financial wrongdoings.
In August, the president of the Spanish league said nine matches were currently being investigated on suspicion of possible match-fixing, including three in La Liga — the top division — with the other six in the second tier.