If you want very natural protein powders, go to the health shop in Andalucia Casa de Alicia in the row of shops in between the bull ring and Mercadona.
You can find sport protein powders in El Corte Ingles in Puerto Banus. But a lot of them contain sugars and chemicals that are not necesarily good for the body, so be aware and read the labels.
I get the best vitamins online through Pharmanex that delivers straight to your home. I have a way to get them at 30% discount that I can share with you. Contact me at zoraspain@gmail.com and I will show you how.