Media reports this week alleged that Rajoy and other conservative politicians had received regular payments from an undisclosed account run by his Popular Party, The New York Times said.
The El Pais newspaper said Rajoy received payments totaling about $34,000 a year from 1990 to 2008.
Rajoy described the allegations as "false" at a PP national executive meeting in Madrid to discuss El Pais' claims, the BBC reported.
"I need only two words: it's false," the prime minister said.
"I have never received nor distributed undeclared money," Rajoy said, adding he would publish his income and financial statements on the party's website.