The Gunners have lost three Premier League matches in a row, putting added importance on their European campaign, which ended at this same stage last season.
Arsenal were riding the crest of a wave when beating Napoli 1-0 at the Stadio San Paolo two weeks ago, making it six wins in seven matches in all competitions to leave them in a strong position on two fronts.
The Spaniard has reportedly left his players baffled by some of his decision making over a three-game run that has seen the Gunners lose 3-2 at home to Crystal Palace, 3-1 at Wolverhampton Wanderers and, most recently, 3-0 to Leicester City at the weekend.
Emery can be forgiven for rotating his side for the first of those matches, coming three days on from the second leg against Napoli, but in hindsight he could have done with keeping the momentum going.
Sunday's heavy loss at the King Power Stadium, combined with Chelsea's point away to Manchester United, leaves Arsenal two points adrift of the Premier League's top four with two games to go.
Arsenal therefore need to beat Brighton & Hove Albion (H) and Burnley (A), while at the same time hoping that Chelsea drop points against either Watford (H) or Leicester (A) in their remaining matches.
It is looking increasingly likely that the success of Emery's maiden campaign in English football will be determined by how his side perform on the continent, with the Europa League not only providing some silverware - increasingly rare for Arsenal in recent years - but also offering a direct route into next season's Champions League.
The Gunners were in a similar position 12 months ago under Arsene Wenger, knowing that it all came down to their double-header with Atletico Madrid. Arsenal's failure to make their dominance count against their 10-man opponents in the first leg would cost them dear in the end, losing 2-1 on aggregate after a 1-1 draw at the Emirates Stadium.
Going by their away record this term, which includes defeats to BATE Borisov and Rennes in the first two knockout rounds, Arsenal will need to take a win to Mestalla with them. Anything less and the odds swing in Valencia's favour.
In Emery, Arsenal have a Europa League specialist, a manager who has now reached the semi-finals of the competition five times - no other manager has done so on more than three occasions (Jorge Jesus and Rafael Benitez both on three). The three-time winner needs to hope that his luck is not out when he comes up against his former club on Thursday.
Recent form in Europa League: LWLWWW
Recent form (all competitions): WWWLLL
That win kept their campaign alive on two fronts, but they have lost back-to-back matches in Liga - 3-2 to Atletico Madrid and 1-0 at home to Eibar on Sunday - to leave them sixth in the table, three points off a Champions League spot.
Like opponents Arsenal, then, Marcelino's men may also be relying on the Europa League to secure their place at Europe's top table next season. That will become a little clearer over the next week; for now they just need to ensure that it is still all to play for in their semi-final with Arsenal for the second leg in Spain.
This is Valencia's first European semi-final appearance of any sort since 2013-14, when they reached the same stage of this competition before being eliminated by a Sevilla side that were managed by current Arsenal boss Emery - the first of his three successes.
Marcelino also has a reputation for being a hard-to-beat manager in the Europa League, tasting defeat just once in 19 matches. That loss came against English opposition - 3-0 to Liverpool in May 2016 when in charge of Villarreal.
Los Che have scored in all six of their knockout ties since dropping down from the Champions League - finishing third in a group that contained Juventus and Man United - but they will have their work cut out finding a way through against Arsenal.
The Gunners have kept nine clean sheets in their last 11 European games, conceding just four goals in total in that period. Given the importance of away goals, Marcelino may well set out his side to attack Arsenal in the first leg.
Valencia, beaten just twice in their last seven European games, have seen their two previous Europa semi-finals ended at the hands of Spanish opposition - Atletico in 2012 and Sevilla in 2014.
Marcelino's side are the last Spanish representatives standing in this year's competition, though, with one of Chelsea or Eintracht Frankfurt competing in the other semi. If that is to remain the case, they need to put their negative results over the past week behind them in time for their trip to the English capital.
Recent form in Europa League: WWWDWW
Recent form (all competitions): WWWWLL
Rob Holding, Hector Bellerin and Danny Welbeck are all long-term absentees, meanwhile, and Denis Suarez's loan spell has come to a premature end because of a troublesome muscular problem that he has been unable to shake off.
Emery therefore has limited options to choose from, but there are still some big decisions to be made. Laurent Koscielny was benched against Leicester with this match in mind, and his likely return could mean Shkodran Mustafi missing out on a reunion with his former club.
Pierre-Emerick Aubameyang, who has netted four Europa League goals at the Emirates this season for Arsenal, is battling with Lacazette for a starting spot up top, though there is a possibility that both men will start.
Another possible reunion will be blocked by suspension as ex-Arsenal midfielder Francis Coquelin picked up another yellow card against Villarreal, possibly forcing Marcelino to turn to Carlos Soler in central midfield.
Arsenal possible starting lineup:
Cech; Sokratis, Koscielny, Monreal; Maitland-Niles, Xhaka, Torreira, Kolasinac; Ozil; Lacazette, Aubameyang
Valencia possible starting lineup:
Neto; Wass, Garay, Paulista, Gaya; Torres, Soler, Parejo, Guedes; Moreno, Mina
Head To Head
Arsenal have faced Valencia on five previous occasions in all competitions, winning just once - a Champions League quarter-final first leg in 2000-01, only to be eliminated on away goals.
Los Che have won two of their last three meetings with Arsenal, winning the most recent encounter 2-1 at Mestalla in a Champions League group match 16 years ago.
The Gunners have won only ten of their 33 UEFA fixtures against Spanish opposition, while Valencia's only previous European semi-final against an English club resulted in a 3-0 aggregate victory against Leeds United in the 2000-01 Champions League.
We say: Arsenal 1-0 Valencia
Arsenal have reached the semi-final stage of European competitions in consecutive seasons for the first time since 1995. Their final campaign under Wenger ended in disappointment following defeat to Atletico at this stage, but they now have a chance to put that right against another Spanish side. The Gunners have been a lot stronger at home than on their travels this term, and a narrow win in this first leg should set them up nicely for their trip to Mestalla next week.