Joana Sainz Garcia, 30, was performing with the Super Hollywood Orchestra group at the venue near Madrid when the incident happened.
A stage pyrotechnic device exploded near the singer, knocking her unconscious, at about 02:00 local time (00:00 GMT) on Sunday.
Paramedics took Ms Sainz to hospital, where she was later confirmed dead.
Around 1,000 spectators were watching the performance, in the town of Las Berlanas, north-west of Madrid.
Footage posted to social media purportedly shows the moment the firework exploded, causing Ms Sainz to collapse on the ground.
A doctor and a nurse who were in the crowd attempted to help the singer before paramedics arrived.
Ms Sainz, from Santander, was reportedly the main dancer and choreographer for the Super Hollywood Orchestra, a 15-member group including singers, musicians and dancers.