Judge Carlos Peinado, who is leading the investigation, was the first magistrate to enter the Moncloa Palace complex, to take a statement from a sitting prime minister.
Mr Sánchez was not obliged to testify because under Spanish law he is not required to do so against his wife.
The court has said the investigation seeks to evaluate Ms Gómez’s conduct since Mr Sánchez became prime minister in 2018.
At the time the judicial probe was launched, Mr Sánchez stunned the country by taking five days off official duties to consider his future but then returned to his post.
The Spanish government has pointed out that a police investigation, carried out in response to the judge’s probe, found no evidence of wrongdoing by Ms Gómez.