Rescuers later found the body of the third skier and police ruled out that any more skiers might be trapped.
An avalanche warning had earlier been issued for off-piste areas at the Formigal ski centre, where heavy snow in recent days has closed some runs, the ski centre said on its website.
The incident came at a time when Spanish resorts are usually packed ahead of a holiday weekend just after New Year.
The deaths are the latest result of harsh weather that has hit Spain and other parts of Europe.
Earlier this week the bodies of two amateur fishermen came ashore after their vessel capsized amid choppy waves near Pontevedra in the north of the country.
Meanwhile, a woman was injured in Madrid when wind caused a stone slate to come loose from a building and strike her on the head.
She died at hospital shortly afterwards.
Ferry links with Morocco have also suffered interruptions because of the weather conditions.