After Los Che took a 2-0 lead within the first 10 minutes, Ronaldo met a Marcelo cross and headed in to keep their run going. Zinedine Zidane's side have now scored in 43 consecutive games.
The current record of 44 belongs to Barcelona, who reached it in 1944.
But while Madrid are finding the net regularly, they have suffered a dip in form. Wednesday's loss was their third of the calendar year, which is one more than they suffered in all of 2016.
The goals from Simone Zaza and Fabian Orellana marked the first time the capital club have conceded twice in the first 10 minutes of a Liga game since 2003, when they did so against Sevilla.
It was also the first time Los Blancos have conceded two goals in a first half of a game this season in all competitions.
There were positives for Ronaldo, though, who marked his 700th club appearance with a header - and the Portugal international has now scored more headed goals than any other player in Europe's top five leagues in last 10 seasons with 51.
Madrid have made good use of his aerial ability, as their tally of 15 headed goals leaves them with the most in the top five European leagues this season.