Karim Benzema scored just before the break and an own goal from Andres Guardado in the 74th minute gave Jose Mourinho's side the advantage in the quarter-final ahead of next week's return at the Mestalla.
The winners go on to meet either holders Barcelona or Malaga, who meet at the Nou Camp on Wednesday.
"It is a good result," Real captain Iker Casillas told reporters, "But the way forward in the cup is very tough.
"We have the return leg away and after that, if we progress, a meeting with either Barca or Malaga, who are in good form. But the victory gives us a lift and helps us get over our frustrations in La Liga."
After a recent poor run of form which has seen Real slip 18 points behind league leaders Barcelona, Mourinho's name once again was met with a mixture of whistles and applause before the start of the 600th top-flight match of his career.
HIGUAIN'S HAND
Valencia carved the perfect opportunity to equalise midway through the second half, after good work by Ever Banega, but when Casillas parried Roberto Soldado's shot Jonas fired wide of the gaping goal.
Substitute Fabio Coentrao's low cross was turned into the net by a combination of Guardado and Gonzalo Higuain as the two slid in at the near post, the Argentine getting the final touch with his hand.
Valencia's new coach Ernesto Valverde was sent off after the goal, though he was sanguine when asked if he was unhappy with the referee.
"It's a lot easier when you see it on the television," Valverde told a news conference. "We have to try and put ourselves in their place.
"Perhaps when I see it on the television it will hurt more. We had chances to score and this is more painful."
Valencia keeper Vicente Guaita denied Cristiano Ronaldo with two magnificent saves towards the end to keep his side's hopes alive in the tie.
