Yes, there were many Jewish athletes from countries in Europe, America, and North Africa who competed. For example, Bronislaw Czech, from Poland, was a downhill skier who competed in the '28, '32, and '36 olympics. During the holocaust he was sent to Auschwitz, and died there after refusing to train German skiers.

Source-The Hamsa, by E.S. Kraay

The 1936 Berlin Olympics were full of anti-semitic shenanigans, and it's one of the Olympics that has a Jewish death toll associated with it, though not as high as the 1972 Jewish Olympic death toll. Originally, Hitler forbade any Jews and black people from participating, period, regardless of what country they were coming from.

A lot of American Jews as well as left-wing groups protested this and called for the US to boycott the Olympics. Even officials at the US Embassy in Berlin wanted the US to boycott the Berlin games. Eventually, the German Olympic committee agreed to allow Jews and Blacks to participate, but not on the Germany team, because that would be a "contamination". Members of the American Olympic committee visited Germany in 1934 to learn if what they’d heard about treatment of Jews was true, in order to address the controversy. They were given a tour by Nazi officials, who permitted them to meet Jewish athletes. The Jewish athletes, in front of the Nazi officials and SS officers, who also translated for them, told the Americans that they were not being mistreated (when Nazi officials weren’t there, the Jewish athletes had plenty of negative things to report). Avery Brundage, head of the US Olympic committee, and later head of the International Olympic committee, bonded with the Nazis, greatly admired them, and found he even had common ground with them as he told them how his sports club in Chicago wouldn’t admit Jews either. Brundage, whose name may sound familiar to you since he was the head of the International Olympic Committee until 1972, also agreed with the German accusations that there was a Jewish/Communist conspiracy to get the US to boycott the Games.

Doubtless some of the Jewish athletes Brundage met were later killed in the Holocaust, but since the names of those athletes were not preserved, we can't say for sure. What is sure, however, is that none of the Jewish athletes Brundage and the other Olympic committee members met with, participated in the Olympics. While Hitler did agree to allow Jews on other teams, he was adamant in refusing to allow Jews to participate on the German team. However, Charles Sherrill, a member of the US Olympic committee, met with Nazi officials in 1935. He urged them to have a "token Jew" on the team, just as some US groups had "token Negros" in them (at the time, calling someone a "token" wasn't seen as the racist insult we see it to be today). Sherrill had a very friendly meeting with Hitler and was his personal guest at the Nuremberg Nazi Party rally of 1935, which he also enjoyed. He pressed Hitler to allow Jews on the German team, and Hitler again refused and said he'd make the Olympics Jew-free entirely rather than allow a Jew to contaminate the German team.

Eventually, although they couldn't get Hitler to agree to allow any Jews on the team, then compromised by allowing someone with no more than half-Jewish blood (a mischling) onto the team. One was chosen for the summer Olympics, one for the winter Olympics (both Olympics were in Germany that year). For the summer, Helene Mayer was chosen. Her father was Jewish, mother was Lutheran. She was the top woman in fencing in the world, and had won the gold at the 1928 Olympics. She had left Germany and was living in California at the time of the '36 Olympics. She said that she hoped her good behavior at the Olympics would help family still in Germany. That's why, when she won the silver in fencing in '36, she gave the Nazi salute at the medal ceremony. By the way, the top 3 female fencers that year were German Jews, but only Mayer, the token half-Jew, was allowed on the team. Rudi Ball was the token chosen for the Winter Olympics. He was a champion ice hockey player and the captain of the German team. Like Mayer, he had one Christian parent. He'd won the bronze in ice hockey in 1932, but the Germans came in 5th in 1936.

Other German Jews involved in the game include Theodor Lewald, President of the Organizing Committee for the Summer Games. He helped to bring the games to Germany in 1936 (a decision made before the Nazis came to power). He had one Jewish grandparent but was a practicing Christian. He was involved in the idea to have an Olympic torch and have it taken from Olympia, Greece, to the location of the games (this is an Olympic standard now, but was new with the '36 games). He was forced to step down from his position after the Nazis came to power. The other "Jew" involved was Wolfgang Fuerstner. He's the one German-Jewish casualty of the 1936 Olympics during the Olympics. He was in charge of the Olympic village, and did a great job. However, it was discovered he had one Jewish grandparent who had converted to Christianity, and he was not a practicing Jew himself. I'm not sure if he knew of his Jewish ancestry or not before this time. Jewish ancestry came as a shock to many Germans, who only found out when they had to go through a mandatory check of their ancestry for a job or military position. Anyway, when his Jewish ancestry became known to Nazi officials, he was fired from his job as head of the Olympic village and was now ineligible for being in the Wehrmacht anymore, and for many other jobs. He committed suicide when the games ended, which was hushed up.

An additional scandal related to Jewish Olympians was that there were two Jews on the US track and field team, Sam Stoller and Marty Glickman. They both went to Berlin, but shortly before their race, they were pulled from participation. It was widely rumored that this happened at the behest of Avery Brundage, who didn't want to embarrass Hitler by having two Jews win gold, as the US was favored to do with them on it.

And there's one really interesting story about a Jewish athlete and Auschwitz, but it doesn't involve the Olympics because it wasn't an Olympic sport. It's about Alojzy Ehrlich, a world champion table tennis player from Poland. He was sent to Auschwitz and Dachau, but was saved from being sent to the gas chamber there by a Nazi guard who was a table tennis fan who recognized him as a world champion. There's a great story about him in Sports Illustrated, if you want to learn more.

Hungarian Jewish fencer Endre Kabos who won both individual and team gold medals at the 1936 Olympics and also previously won an individual bronze and team gold at the 1932 Los Angles Olympics. Kabos died in November 1944 whilst performing forced labour for the Nazis.

Hi. There was just an article on this published: http://www.timesofisrael.com/the-jewish-olympians-among-hitlers-victims/

This has names and circumstances of Jewish Olympians killed by Hitler. I came across it in a reddit post, so there will be further discussion here: https://www.reddit.com/r/Jewish/comments/51n0yz/the_jewish_olympians_among_hitlers_victims/?ref=share&ref_source=link