The simple answer is 'burro'.
However the following words also have a definitions including the word donkey.

Asno - ass, donkey, jackass
borrico - donkey
pollino - donkey, idiot
estúpido - idiot, bonehead, donkey, coot, stupe, blunderhead

And there is a female form 'burra'

Be sure to practice your pronunciation to avoid confusion with the following:
Buró - bureau
borra - stuffing/flock
bureo - go out on the town/go for a walk