"But Spanish democracy has demonstrated that it does not allow challenges from those who oppose its basic principles and its most essential values."
Alfredo Rubalcaba, Spain's interior minister, blamed Eta for the shooting, calling it "a vile, cowardly act worthy of all our condemnation".
No group has yet claimed responsibility for the shooting.
Zapatero called off peace talks with Eta in December 2006, after the group was blamed for a car bombing that killed two people.
Al Jazeera's Tim Friend, reporting from Madrid, said that, because of the elections the country had been on alert for some kind of attack.
"It has to be said Eta has been very quiet during this campaign and some people say even this attack - if that's all that happens before election day - may be a sign of their weakening position within Spanish society."
Both Zapatero's Socialist Party and the opposition Popular Party cancelled rallies on Friday, the last day of campaigning allowed ahead of elections on March 9.
The opposition is hoping to win, despite falling behind in opinion polls, while Zapatero hopes to win a large enough share of the vote to allow him to govern without having to form a coalition.
The final public opinion poll, which came out on Monday, gave Zapatero's Socialists a four-point lead over the opposition Popular Party, headed by Mariano Rajoy.
That would leave the Socialists as the largest party, but without an overall majority, as occurred four years ago when Zapatero scored a surprise win over Rajoy.
His party has since governed as part of an alliance with the Republican Left of Catalonia separatist party, and the United Left, a coalition of Greens and communists.
Jose Luis Rodriguez Zapatero
- Elected prime minister in 2004, he pulled Spanish troops out of Iraq.
- Angered Roman Catholic church by legalising same-sex marriages and making it easier for Spaniards to divorce.
- Enacted an amnesty for illegal immigrants, granting work and residency papers to 700,000 of them.
- Is seen as having failed in a bid to negotiate peace with Basque separatist movement Eta.
- Leads opposition Popular Party and is making his second attempt to win election as prime minister, after losing in 2004.
- Has pledged strict law-and-order measures to control immigration, and promises education reforms.
- Says will not negotiate with Eta, if elected.
Zapatero refused to rule out another alliance with a small party, but has yet to reveal his intentions, hoping that the election outcome will give him room to manoeuvre.
On Thursday, the Basque Nationalist Party offered Zapatero a "pact that sets the basis for a solution to the Basque political conflict".
The moderate nationalist Catalan Convergence and Unity Party has also announced it is ready to join a Socialist government, but has conditioned its support on "the full imposition" of a controversial law that grants greater autonomy on the northeastern region of Catalonia.
In a rally before more than 30,000 people in the Catalan capital of Barcelona on Thursday night, Zapatero vowed to represent "all flags, all ideas, all languages".
He was accompanied by Felipe Gonzalez, a former Socialist prime minister, who urged supporters not to waste their votes on smaller parties.
"What I don't want to see are wasted votes that will result in a win by those who should not win," he said.
Opposition leader Rajoy also sought to lure undecided voters.
In a rally in the Spain's third city of Valencia, he told supporters: "We don't want any more divisions, tensions, policies that destroy harmony between Spaniards."
He was referring to Zapatero's policies of granting more autonomy to Catalonia and the failed peace talks with Eta, as well as the government's liberal social reforms such as laws on same-sex marriages and fast-track divorce.
Rajoy has also vowed to take a hard line on immigration and accused Zapatero of mismanaging the economy, which has begun to slow following a construction-led boom.
Zapatero scored a surprise win over Rajoy in the last election held on March 14, 2004, just three days after the Madrid train bombings which killed 191 people.
Voters were infuriated over the Popular Party's insistence that Eta was to blame for the attacks even though evidence pointed to Islamic groups angered by the government's commitment to involvement in the US-led invasion of Iraq.