Roman Catholic AnswerThere is an ancient tradition that the first Church in Spain was founded by the Apostles Paul and James, so that would have been the first century. Christianity is very ancient in Spain. Church refers first of all to the people, to the Catholic Church, not to buildings. Church is the Apostles and their successors, the Bishops. There is a very old saying that where Peter is, there is the Church; meaning where the Pope is, you will find the faithful, the Christians. So Paul and James founded the first "Church" in Spain. This is from the Catholic Encyclopedia:

Under the Roman domination Spain received Christianity. There is a venerable tradition that the Apostles Paul and James came to the country, as well as the Seven Apostolic Men (Torquatus, Ctesiphon, Secundus, Indalecius, Caecilius, Hesychius, and Euphrasius) to whom the foundation of various churches is attributed.