Three passers-by were also wounded in Saturday's incident in Alicante, while a car driver and passenger were taken hostage by one of the gang as he tried to escape.
The three, who were masked and wearing bullet-proof vests, were armed with rifles and a grenade when they burst into the store late on Saturday, holding up the staff and taking jewellery displayed in the window after failing to open the safe.
On leaving the shop they opened fire on a police car sent to the scene, hitting it 15 times but causing no casualties, a police statement said. Police returned fire, killing one of the robbers, aged 30.
A second man was arrested soon afterwards while the third hijacked a car, ordering the driver to take him to Agost, some 20 kilometres away, where he released the motorist and his passenger.
The escapee was also arrested early on Sunday, along with another man, as they headed for France. Police said the detainees, aged between 24 and 61, were all French and would be put on trial.