The 15-year-old tourist, who was on holiday with her family, was alone when the sex attacker entered the sauna and forced himself on her.
The incident happened around 4pm on Monday at an unnamed hotel in Llucmajor in the south of Majorca.
The sex attacker is believed to be foreign, although his nationality has not been disclosed.
Civil Guard investigators have been able to establish he was not staying at the hotel and local paper Ultima Hora said he had been identified from CCTV cameras but not yet arrested.
Police are working on the theory that the aggressor had been watching the teenager and waited until she was alone before targeting her.
The youngster alerted hotel staff immediately after the sex attack and was taken to Son Llatzer Hospital in the Majorcan capital Palma for examination.
There was no immediate official comment from the Civil Guard early this morning/yesterday morning (FRI).
Additional reporting by Natalia Penza