MADRID—At least two people died and several were injured when a building in central Madrid belonging to the Catholic Church collapsed on Wednesday after an explosion, Mayor Jose Luis Martinez-Almeida told reporters. Initial investigations suggested that the blast in Calle de Toledo, a street leading out from the city center, had been caused by a gas leak, he said. Smoke billowed out of the collapsed building and rescue workers evacuated elderly people from a nearby nursing home. A Church official said one church volunteer was missing. The building was a complex that provided residential training for priests and also gave meals to homeless people, a neighbor said. By Nathan Allen and Michael Gore