Emergency services had earlier in the day launched an operation to rescue the three Spaniards after finding them alive days after they were reported missing.
Spanish media identified the three as 26-year-old lawyer Gustavo Virues and policemen Juan Bolivar and Jose Antonio Martinez, both 41.
It was not immediately known which of the three men had died.
They were part of a group of nine Spaniards who had split up on Sunday to explore different caves and were later due to meet in Ouarzazate in southern Morocco.
By Tuesday afternoon the three failed to show up as planned, triggering concern among their fellow cavers, who alerted the authorities.
"The two persons who were injured received first aid and will be evacuated to a hospital, but the third caver has unfortunately died," the MAP news agency reported local officials in Ouarzazate as saying.
They said the trio "fell from a cliff several hundred metres high" in the Tarmest region.
The Moroccan Royal Gendarmerie, Civil Protection and two doctors had scrambled earlier Saturday to rescue the three after they were found alive by search teams in the rugged High Atlas range.
They were found at the bottom of a cliff in the commune of Tamest in the southern Ouarzazate region, MAP reported.
Zoubir Bouhour, head of the Ouarzazate regional tourism organisation, said earlier that "helicopters and elements of the civil defence were participating in the rescue effort".
But he warned that access to the area was difficult, with no possibility of the helicopters landing. Rescuers would have to make their way on foot to the site.
The area the three had been exploring includes peaks of around 4,000 metres (13,125 feet) covered with snow from a heavy winter, and there were fears the cavers may have been caught in flash floods.
When the initial news came that they had been found alive, relatives expressed relief.
Martinez's wife, Julia Ordonez, told Cadena Cope radio "they have been found, thank God, the nightmare is over".
'They are in trouble'
Ordonez also told Spanish state television TVE that one of the three had been injured, but was unable to provide details.
"What we know is that one of them is in need of medical help because the other two were moving and signalling for help when a helicopter passed overhead," Ordonez said.
Media in Madrid, quoting interior ministry sources, said seven Spanish policemen from a unit specialising in rescue efforts travelled to Morocco on Saturday to join the operation.
Vehicles bearing Spanish diplomatic licence plates were seen near Ouarzazate airport, an AFP photographer said.
Heavy clouds over the region hampered the rescue effort, reducing visibility for the helicopters involved in the search.
Ordonez said the trio, longtime friends, had years of experience mountain climbing and caving in the Alps and the Andes and had prepared well for their trip.
"They are not backpackers," she said, adding that if they failed to get to the meeting place "it was because they are in trouble".
Ouarzazate lies to the south of the High Atlas range on the edge of the Sahara desert, about 510 kilometres (320 miles) by road from the capital Rabat.