As well as putting them through to the semi-finals of the King's Cup, Tuesday's 1-0 victory at home to Espanyol set a club record of eight games without conceding a goal, beating the previous best set in the 1994-95 season.
While none of those opponents could be considered among Spain's elite, Real's run of 10 straight wins in all competitions means they are brimming with confidence before the Cup semi-finals early next month.
Holders Atletico Madrid, who beat Real 2-1 in last year's final, and Athletic Bilbao are their possible opponents in the last four and they also play at fourth-placed Bilbao in La Liga on Sunday.
They then host Villarreal, who are fifth, the following week before travelling to Germany to play Schalke 04 in their Champions League last 16, first leg at the end of February.
Ancelotti, who has calmed the waters at the club following a turbulent three seasons under Jose Mourinho, said one reason for the team's recent success is a big improvement in defence.
Scoring goals has not been a problem, especially with FIFA Ballon d'Or winner Cristiano Ronaldo in scintillating form, but they leaked far too many during the first few months of the season.
Ancelotti appears to have found the solution and also praised the players' professionalism, which he said was the reason why they were in such good shape physically despite a gruelling calendar.
"Above all our play is more natural now," Ancelotti told a news conference after Tuesday's Espanyol game.
"This is a result of work done in previous months," he added.
"All the players train very well every day, with a lot of focus and that is indispensable if you want to be in shape."
Ancelotti pinpointed his defenders, particularly centre backs Sergio Ramos, Pepe and Nacho Fernandez, while noting that the rest of the team also made an important contribution to repelling opposition attacks.
"We have a balance in defence because the entire team works to get the ball back quickly," he said.
"Pepe, Nacho, who played very well today and with a lot of confidence, and Sergio Ramos are at a very high level."
Another club record to fall on Tuesday was the number of minutes without conceding previously held by goalkeeper Paco Buyo and also set in the 1994-95 campaign.
Captain Iker Casillas has now gone seven games and a total of 682 minutes without letting in a goal, although he may have bitter-sweet feelings about the achievement as he has lost his regular place in the starting lineup.
Casillas fell out with Mourinho last term and Diego Lopez took over as first-choice keeper and this season Ancelotti has decided to play Lopez in La Liga and Casillas in the two knockout competitions, the King's Cup and the Champions League.
The 32-year-old, who also captains Spain, had been a fixture for Real for more than a decade and has hinted that he may seek an exit if he doesn't feel he is playing enough.
"It's a fantastic individual record for Iker but the whole team deserves it for their work," Ancelotti said.
"But also for Iker, who is going through a certain situation," he added.
"He hasn't lost any confidence. He is working with a lot of character and is an example for everyone."
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