Ten men burst into the embassy on February 22nd brandishing fake handguns, according to sources close to the enquiry cited by Spanish media.
The intruders then tied up and gagged several embassy employees before making off with documents, computers and telephones. They escaped in two embassy vehicles with diplomatic plates which were later abandoned.
According to the El Pais newspaper, investigators have not ruled out “political espionage”.
The Spanish government has said little about the mysterious incident.
“An enquiry is underway into what happened,” said a foreign ministry spokesman, without elaborating.
The interior ministry said the North Korean embassy had not filed any official complaint.
North Korea's ambassador to Spain was expelled in 2017 as a “persona non grata” after nuclear tests and missile firings by Pyongyang.
Since then, North Korea has had diplomatic representation in Madrid but no ambassador.
AFP was unable to contact the North Korean embassy by phone for comment.
The only element that the government and police have officially confirmed was that on February 22nd a North Korean woman who was slightly injured was picked up on a street near the embassy.
According to the media, she is believed to have been the one who gave the alert.
Alejandro Cao de Benós, a Spaniard who has worked since 2002 for the Pyongyang regime as a delegate for cultural relations, told AFP what he learned from “administrative technicians”.
“The only thing that I know directly is that there was the theft of computer equipment and mobile phones and that the personnel are fine after having suffered some minor injuries,” said Cao de Benós, who is also president of the Korean Friendship Association.
The former ambassador to Madrid, Kim Hyok Chol, is today the North Korean envoy to the United States and was involved in preparations for the recent summit in Hanoi between Kim Jung Un and Donald Trump. The talks failed to reach a nuclear accord, though both sides say they are keeping the door of diplomacy open.