August Holmgren and Johannes Ingildsen otherwise won the first set against Pedro Martinez and Jaume Munar, but lost their grip on the game and lost 6-1, 3-6, 2-6.
Denmark lead 2-1 in matches and still has two opportunities to gain access to the Davis Cup Final 8 for the first time.
Because of the two victories on Saturday, Davis Cup captain Frederik Lochte Nielsen had the advantage that he could spare Holger Rune in the doubles and save him for later if necessary.
At the same time, August Holmgren and Johannes Ingildsen have played several tournaments together around the world and therefore know each other intimately.
They showed that from the start in Marbella where they enjoyed great support in the popular holiday destination, while the Spanish players found it difficult to keep their concentration.
After being broken in the beginning of the set, Martinez and Munar broke back, but couldn't hold serve at all. With Holger Rune as part of the cheering chorus, the Danes took a 5-1 lead and then closed out the set with Ingildsen serving.
However, the Spaniards came back roaring in the second set. Martinez and Munar did not give away a single break point, but instead took advantage of the one chance they got on the Danes' serve.
That led to the third set, where the Danes made too many mistakes. Up 40-0 on their own serve, Holmgren and Ingildsen were broken to 1-2, and from then on the Spaniards never looked back.
The Danish duo tried to strike again, but Munar in particular was flying and never allowed the Danes back into the match
The Danes must now hope that the world number 37 Munar har grown tired before his match against Rune.