The European Commission "sent a letter yesterday to the Spanish health minister to obtain some clarification" of how this had happened, despite all the precautions taken, a spokesman said.
"There is obviously a problem somewhere," Commission spokesman Frederic Vincent said, at a time when all European Union member states are supposed to have taken measures to prevent an Ebola outbreak.
Tests confirmed that the nurse had been infected with the deadly virus that has killed more than 3,400 people in west Africa.
The woman was part of a medical team at Madrid's La Paz-Carlos III hospital that treated two elderly Spanish missionaries who died of Ebola shortly after they were repatriated from Africa.
Vincent said that despite the case, the Commission was not unduly concerned and believed that the spread of the virus in Europe "remains highly unlikely."
The Commission, however, hopes that Spain will provide details by Wednesday so that they can be discussed by European Union officials.
The nurse, who is married without children, is now being treated in isolation at a hospital in Alcorcon, a southern Madrid suburb, where she is said to be in a stable condition although still running a fever.
Europe and the United States have been touched by the disease but until now all the cases stemmed from people who caught the virus in west Africa and who then returned home.
