The 42-year-old is accused of being the killer dubbed "the assassin of the 10th" for the dates the killings took place -- August 10 and September 10.
He is due to appear in court this afternoon charged with double murder.
Local media have identified him as an Irish citizen, however it is understood that the documents he was carrying when he was arrested in Mijas, near Malaga, were fake.
Spanish police are trying to determine his identity with the help of Interpol.
Officers believe that the man may be responsible for other unsolved murders around the country and are treating him as a potential serial killer.
The man's Moroccan girlfriend and her mother are also being held in custody.
A 45-year-old Spanish woman of Argentinian origin was found lying dead on the bed of her luxury apartment in Calahonda, a small town in Andalusia, on August 11.
It is understood that she had been attacked the previous day and stabbed at least 15 times.
Exactly one month later, Spanish police discovered the body of a 47-year-old woman in her rented home in San Pedro, near Marbella.
The woman, who was born in Ecuador but was a Spanish citizen, was stabbed up to a dozen times in the neck and chest.
Both victims were later identified as prostitutes who advertised in local papers.
The suspect was arrested on Friday just before 4pm at a gym near his home in Riviera del Sol, near Fuengirola.
Neighbours said that he was the "strong silent type".
Another said: "We're surprised because he seemed like a quiet person."
A spokesperson for the Department of Foreign Affairs told the Herald that the department had received "no request for consular assistance" and that the suspect's nationality -- and the nationality of his fake documents -- had not been confirmed.