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Early on, Real's talisman Cristiano Ronaldo attacked the visitors' backline and won a pair of free kicks that he took himself but arrowed just off target.
Soon after Luka Modric failed to hit the target from inside the box after being set up by Karim Benzema and soon Valencia were in control of the game.
The visitors were outmanoeuvring the Real midfield and Ever Banega sent through a pass for Roberto Soldado to advance on goal. Unfortunately for the frontman, the linesman's flag was raised for a contentious offside.
After the break Valencia continued to look impressive and again squandered an opening when Victor Ruiz headed over from just a few yards out.
Jonas missed the target after Casillas had palmed Soldado's shot clear with another chance before Madrid made them pay for their missed opportunities.
Fabio Coentrao got in down the left and his cutback was about to be prodded home by Gonzalo Higuain when Andres Guardado slid it into his own net.
Valencia didn't respond following the second and Madrid almost made it three through Ronaldo and Ozil late on.
The second leg will be played at the Mestalla next week, with the winner going on to face either Malaga or Barcelona in the last four.