Ali Qazimaj, 42, was detained in Luxembourg, in connection with the deaths of Sylvia and Peter Stuart, who were reported missing on 3 June.
Mr Stuart, 75, was found dead near their home in Weybread, Suffolk, later that day. He had been stabbed. Mrs Stuart's body has not yet been found.
Mr Qazimaj, from Essex, is understood to have caught a ferry to France the day after Mr Stuart was found dead.
Live: Latest on the Weybread double murder inquiry
Police named Mr Qazimaj, a Kosovan immigrant, as a suspect on 6 June.
He is known to have caught a ferry from Dover to Calais, at around 18:30 on 4 June, after leaving his silver CitroÃ«n C3, in a cul-de-sac close to the ferry terminal.
Mr Qazimaj, who also goes by the name of Marco Costa, was found in a hostel in Luxembourg City by a worker who identified him from pictures on the internet.
He is currently being held in custody in Luxembourg.
Mr and Mrs Stuart were last seen on 29 May when they were captured on CCTV walking into Goodies Farm Shop in Wood Lane in Pulham Market, at around 10:20 BST.
Although the body of Mrs Stuart, 69, has not yet been found, police confirmed late on Thursday they were treating her disappearance as murder.
Det Ch Supt Simon Parkes, leading the investigation, said the search for Mrs Stuart was continuing but he had "no expectation of finding Sylvia alive".
The couple's son-in-law, Steve Paxman, 61, of Leicester, was arrested earlier this month in connection with the inquiry and released on bail.
Police investigating the double-murder of a couple have arrested a man.