A group of 10 assailants broke into the embassy on 22 February, tying up eight members of staff before beating and interrogating them.
The attackers also took computers and mobile phones from the embassy.
Sources close to the investigation told Spanish newspaper El Pais they had identified at least two of the attackers as having connections with the CIA.
The newspaper said the CIA had denied involvement but its sources in the government said they found the US intelligence agency’s response “unconvincing”.
During the break-in, one woman managed to get free and escaped through a second floor window and a neighbour who heard her screams contacted the police.
But when they arrived on the scene they were turned away by a man at the door of the embassy who told them nothing was going on.
Minutes later, the assailants sped away in two North Korean diplomatic vehicles which were later found abandoned nearby.
Inside the embassy, officers found eight people who had been tied up with bags over their heads for two hours. Two needed medical attention.
Sources told El Pais investigators from the Spanish police and secret service (CNI) believe the operation was planned perfectly, as if by a “military cell”.
They reportedly suspect the attackers were hunting for information on Kim Hyok-chol, the former North Korean ambassador to Spain who has since played a role in organising North Korean leader Kim Jong-un’s meeting with Donald Trump in Vietnam.
Kim Hyok-chol was expelled from Spain in September 2017 in retaliation for North Korea’s nuclear missile tests.
He has since led the North Korean delegation that negotiated with the US in exchange for the lifting of sanctions.
A spokesperson for Spain’s Ministry of the Interior said they do not comment on ongoing investigations.
The Independent has contacted the CIA for comment.
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