Karim Benzema scored just before the break and an own-goal from Andres Guardado in the 74th minute gave Jose Mourinho's side the advantage in the quarter-final ahead of next week's return at the Mestalla.
Holders Barcelona are at home to Malaga on Wednesday, when Real Zaragoza play Sevilla, and the other last-eight first leg is on Thursday when Atletico Madrid receive Real Betis.
After a recent poor run of form, Mourinho's name once again was met with a mixture of whistles and applause before kickoff as he took charge of the 600th top-flight match of his career.
Brazil full back Marcelo was back in the side after almost three months out with a foot injury but first-choice centre-backs Sergio Ramos and Pepe were missing through suspension and injury respectively.
Luka Modric fluffed an early chance for the hosts and Iker Casillas pulled off a great reflex save to deny Jonas.
As so often happens with Real, a close chance at one end turned into a goal at the other, as Michael Essien burst away on a counter-attack.
He fed Sami Khedira, who immediately laid off for Benzema and the hosts were 1-0 up in the 37th minute.
Valencia carved the perfect opportunity to equalise midway through the second half, after good work by Ever Banega, but when Casillas parried Roberto Soldado's shot Jonas fired wide of the gaping goal.
As with the first goal, Real immediately struck back.
Substitute Fabio Coentrao's low cross was turned into the net by a combination of Guardado and Gonzalo Higuain as the two slid in at the near post, the Argentine getting the final touch with his hand.
Valencia keeper Vicente Guaita denied Ronaldo with two magnificent saves towards the end to keep his side's hopes alive in the tie. (Reporting by Mark Elkington, editing by John Mehaffey)