The car exploded near the bottom of the Europa Tower which is just 50 metres from the stadium.
The second car - found in another area of Madrid - is thought to have been the one the terrorists used to get away from the first explosion.
Terrorist group said they did it
A Spanish terrorist group called ETA has said they carried out the attacks, which so far have only caused light injuries.
ETA is a group of people called Basque separatists. They want a part of Spain and France known as the Basque region to be allowed to be a separate country.
A major clean-up operation is now under way near the stadium.