Messi was on target as Barcelona defeated Diego Simeone's men 2-1 at the Vicente Calderon in the first leg of the Copa del Rey semi-finals.
The five-time Ballon d'Or winner doubled Barca's lead in the 33rd minute after team-mate Luis Suarez opened the scoring, unleashing a thunderous strike in off the post in Madrid.
"It's in big, special games like this that Messi shines," Luis Enrique told reporters post-match.
"There aren't many words left to describe him.
"It's in big games that we see the best of Messi."
Barca will be without star forward Neymar for the return leg next week, but Luis Enrique has faith in his team's depth.
"If there is any team in the world who can cover absences it is Barca," he said.
"[Neymar] is a key player for us, but we have players who can cover in his position."