The Interior Ministry say a Spanish policeman stationed at the country's embassy in Yemen has been found dead with a gunshot to the head.

A ministry statement says the death of 38-year-old Antonio Cejudo was being investigated. It would not say if the case was being treated as a suicide.

Cejudo had been missing for several days. His body was found in a hard-to-reach mountainous area, and his service revolver was by him. The ministry would not say if it was in his holster or on the ground.

Cejudo had been stationed in Yemen for two years.

The newspaper El Pais said the alarm was raised when Cejudo failed to arrive in Madrid on Thursday as planned for a few days of vacation.