The sailors from the Nacra 17 catamaran class were in Santa Teresa, a picturesque part of Rio that is a favorite for foreign visitors, when "they were confronted by five people armed with two pistols," the Spanish Sailing Federation said in a statement.
Olympic champion Fernando Echavarri, world and European champion Tara Pacheco and trainer Santi Lopez-Vazquez were robbed but "fortunately they did not suffer personal injury," the sailing federation said.
"A bag with money, documents and a camera were taken" in the incident, Rio's tourism police said in a statement. The Spanish team said the mugging occurred in the early hours of Saturday, while police said it was on Friday.
"Civil police are working to identify the authors of the crime and to recover the stolen objects," said the police statement.
Spanish officials said the team was in Rio to train ahead of the Games which open August 5th.
Security is one of the main concerns for organizers in a city where large working class neighborhoods known as favelas are considered off limits to most tourists and where heavily armed police engage in frequent shootouts with drug gangs.
Muggings and crimes involving firearms also occur regularly in the wealthiest neighborhoods in the south of Rio.
"It was a very unpleasant experience," Lopez-Vázquez said. "There were five youths with two pistols. They took all the work equipment we were carrying at that time."
The Spanish federation said "lack of security in Rio is one of the points that worries the teams."
"Fernando, Tara and Santi want to forget what happened as quickly as possible and concentrate completely and exclusively on the training."
Some sailors preparing for the Olympics have also expressed concern about high levels of pollution and floating garbage in Guanabara Bay where the fast, but flimsy racing dinghies and windsurfers risk being impeded by plastic bags caught on rudders or centreboards.