It was the away side that took the lead in the early stages when Oscar Gonzalez coolly slotted home from inside the box. However, an own goal from Antonio Rukavina after 26 minutes left the scores level.
Madrid were back ahead in the early stages of the second period when Kaka thumped an effort into the top corner, before Ronaldo made it 4-2 after 70 minutes.
Lluis Sastre had one back for the away side late on, but Madrid held on to secure all three points.
Read how it all unfolded in Sports Mole's minute-by-minute live commentary of the action below.
MADRID: Lopez; Nacho, Pepe, Carvalho, Coentrao; Kaka, Modric, Khedira; Di Maria, Ronaldo, Benzema
VALLADOLID: Jaime; Rukavina, Valiente, Balenziaga, Rueda; Ebert, Rubio, Oscar, Omar; Perez, Guerra