The daily ABC said the team, described as highly experienced, had been making an advertisement for Britain's Channel 4 television station on Thursday over Madrid.
Spanish media citing rescuers said the parachutists jumped free after the single-engined aircraft lost a wing and went into a spin, bursting into flames when it hit the ground.
The reports said the parachutist who died was a Brazilian, aged 36, and the 38-year-old pilot Spanish.
The other skydivers were of various nationalities.