A Spanish radio station said his coffin was dragged from its tomb, doused with fuel and set on fire.
Special agent Francisco Javier Torronteras died when seven suspected Islamic militants set off explosives as police moved in on their apartment.
Police said no motive for the desecration was immediately apparent.
Cadena SER radio station said the coffin was pulled from the tomb late on Sunday night, and dragged about 500 metres before being burned.
Tests on body
National Police spokesman Antonio Nevado confirmed the tomb had been desecrated, but gave no further details.
Security was stepped up around the cemetery at Carabanchel in southern Madrid following the attack.
Cadena SER said officers took the body to Madrid's Forensic Institute for tests.
Mr Torronteras, 41, was part of a special operations unit which was closing in on a flat in the Leganes district of Madrid on 3 April when those inside apparently deliberately set off explosives.
Police found the bodies of seven people they suspect may have been linked to the Madrid train bombings, which killed 192 people on 11 March.
One of the dead was the suspected ringleader of the bombing plot, Serhane ben Abdelmajid Fakhet.
Eighteen people have been provisionally charged over their alleged role in the attacks.
The Spanish government has said the cell behind the bombs has been "neutralised", but admits that other suspects may still be at large.