Ancelotti's men travelled to Galicia on the back of successive defeats in La Liga, losing to Real Sociedad and then bitter rivals Atletico Madrid.
Tuesday's 5-1 win over Basel in the UEFA Champions League served as a morale boost and Real were at their lethal best at the Riazor.
Cristiano Ronaldo netted a hat-trick, as Gareth Bale and Javier Hernandez both grabbed two each and James Rodriguez found the net with a fine strike.
Although Ancelotti urged his men to continue improving, he believes Real's stars proved themselves on Saturday.
"We have shown our quality and [that] we have players with great skill," the Italian is quoted as saying by Marca.
"We played with great intensity and we tried to do well in all phases of the game. [But] we need to improve our consistency and our balance."
Deportivo began the second half well and pulled a goal back from the penalty spot through Haris Medunjanin, but three substitutions from Ancelotti saw the visitors reaffirm their dominance.
"The changes gave the team more intensity and freshness," Ancelotti added.
"Illarra [Asier Illarramendi] gave balance and depth and Isco and Chicharito [Javier Hernandez] quality. James [Rodriguez] played well too."
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