The France international opened the scoring in the first half with a cool finish, before an Andres Guardado own goal handed Jose Mourinho's side the upper hand in the tie
Los Che put in a committed display in the Spanish capital, yet it was Blancos who emerged on top with one goal either side of half time. Karim Benzema put the hosts ahead against the run of play in the first half before an Andres Guardado own goal secured them a solid first-leg lead.
After two early Cristiano Ronaldo free kicks flew wide of the posts in the opening seven minutes, the clearest chance for Madrid to take the lead fell to Luka Modric. The Croatian was put through on goal by Benzema but, with plenty of time to take aim, he somehow contrived to shoot narrowly wide.
Ernesto Valverde's men assumed control of possession and it was not until the 28th minute that Madrid managed to wrest the ball away and worry the Valencia defence again.
Ronaldo held off the challenge of Joao Pereira to slip a pass through to Mesut Ozil as he surged into the box from deep. However, in stretching to control the ball, his touch was heavy and Pablo Piatti managed to steal in and poke possession off his toes.
Again the visitors bounced back with two decent chances for Jonas, one of which was only kept out by a magnificent reaction save from Iker Casillas, but the misses proved costly as Benzema gave Jose Mourinho's side the lead against the run of play.
Eight minutes from half-time a swift counterattack was lead by Michael Essien. He found Sami Khedira who put a first-time pass into the path of the France international, who then guided the ball into the bottom corner.
The visitors continued to press after the break with some adventurous football that forced Jose Mourinho's men to defend in numbers. And they were let off the hook in the 50th minute as Victor Ruiz nodded over the bar despite beating Casillas to a cross into the box.
Los Blancos were struggling to forge any meaningful attacks in the second half and so Angel Di Maria was introduced shortly after the hour mark.
But los Che remained in control and they came agonisingly close to equalising in the 66th minute. Roberto Soldado sprung the offside trap and Casillas could only palm his shot into the path of Jonas, however he somehow struck the ball wide with almost the whole goal to shoot at.
Once more it was a miss from the Brazilian that was a prelude to Madrid finding the net, somewhat undeservedly. Fabio Coentrao raced to the byeline and his cutback was bundled into the net by a combination of Guardado and Gonzalo Higuain, though the Mexican appeared to take the last touch.
Valverde was sent to the stands by the referee in the aftermath of the goal, but Vicente Guaita halted things from getting worse as he denied Ronaldo with two brilliant saves in the closing stages.
As a result, Mourinho's men only take a 2-0 advantage into the second leg at Mestalla in a fortnight.