Both sides had chances in the first period, but neither could break the breakthrough with the scores level at the interval.
The tempo of the match improved in the second half, however, with Henrique Sereno handing Valladolid the lead 20 minutes from time.
Rayo equalised moments later when Jordi Amat fired a sensational effort into the back of the net.
There was time for late drama, however, as Manucho tapped home from close range to hand all three points to the visitors.
Read how it all unfolded in Sports Mole's minute-by-minute live commentary of the action below.
RAYO: Ruben; Casado, Tito, Amat, Galvez; Fuego, Trashorras, Piti, Jose Carlos; Dominguez, Leo
VALLADOLID: Hernandez; Sereno, Rukavina, Balenziaga, Rueda; Rubio, Larsson, Ramos, Sastre; Manucho, Bueno