Antoine Denive, 27, was detained in a joint Franco-Spanish raid on a house in Malaga, Madrid authorities say.
The Frenchman is suspected of fleeing France weeks after the 9 January supermarket siege.
In all, 17 people were killed in three days of Islamist violence in Paris.
Spain's interior ministry said two other suspects from Serbia and Montenegro were detained during the raid on a building in the Rincon de la Victoria area of Malaga on Tuesday.
The French suspect, from the Pas de Calais region of north-west France, was said to have had ties to Serbs who may have provided him with arms and ammunition.
He appeared before a judge in Madrid on Wednesday and denied the charges. Unconfirmed reports said he had agreed to be extradited to France.
Paris attack victims
Three days of terror in Paris
Charlie Hebdo offices: 7 Jan 2015
Montrouge shooting: 8 Jan 2015
HyperCacher supermarket: 9 Jan 2015
Spanish police have arrested a man suspected of supplying arms to Paris gunman Amedy Coulibaly, who murdered four people at a kosher supermarket in January 2015.