Reinares, of Madrid's Elcano Royal Institute, said that according to information passed to Spain by several Western intelligence agencies, Megomedov joined training camps in Afghanistan and Pakistan, including camps run by Pakistani militant group Lashkar-e-Tayyiba, after leaving the Russian special forces outfits.

CNN: Spain 'al Qaeda cell' may have targeted Gibraltar

Police are currently trying to unlock the contents of 32 GB thumb drive that belongs to one of the Chechen suspects, according to Fernando Reinares, a senior international terrorism analyst at The Elcano Royal Institute in Madrid, who was briefed by Spanish security services on the investigation.

CNN: Judge in Spain takes statements from terror suspects