King Felipe of Spain's nephew, Froilán de Marichalar, is thought to have been at the Marbella venue, celebrating his 24th birthday with his friends.
It is not known whether or not any of his companions were harmed.
At least five people have been hospitalised at Costa del Sol Hospital in Marbella with gunshot and stab injuries.
A woman was reportedly killed in the fighting.
The shooting suspect is in custody in the hospital.
He is reportedly in serious condition as a result of stab injuries to the head and torso.
Chilling footage shared on social media appears to show panicked nightclub users screaming as they try to escape the scene.
Local and National police rushed to the nightclub, with an eyewitness reporting 18 police vehicles at the site.
Three ambulances also attended the scene, the eyewitness said.
Speaking to local outlet El Confidencial, they said: "I couldn't sleep because of the noise from the disco and suddenly I heard the four shots.
"I looked out because from the beginning I knew that these were not fireworks like the ones that had been launched on other nights.
"I saw many people running and leaving the premises so I called the police."
The incident is now being investigated by Spain's National Police.
Comment: Whilst Marbella is known for its underworld and criminality, this incident seems unusual; although people 'going off' seems to be an happening with an increasing occurrence these days: