The defeat at the Mestalla has left Los Blancos five points off second-placed Atletico Madrid, placing huge importance on this weekend's La Liga clash against 10th-placed Eibar.
Zinedine Zidane started his second spell in charge of Madrid with back-to-back victories over Celta Vigo and Huesca. Confidence would have been high at that point, but the team's problems were once again shown on Wednesday night when they suffered a 2-1 defeat at Valencia.
There is no question that Zidane has improved the mood since returning to the Bernabeu, but there is also no getting away from the fact that this is a squad in desperate need of a revamp.
Los Blancos reportedly have a huge transfer budget this summer and big-name signings are certainly needed if Madrid are to be challengers for the major trophies next season.
Nine defeats from 30 La Liga matches this term is just not good enough for a team of Madrid's ilk. As it stands, they are 13 points off leaders Barcelona and as mentioned, five points off second-placed Atletico. Los Blancos will not finish lower than third, but they would have been keen to secure the spot behind Barcelona.
The fact that Madrid also have the worst defensive record in the top six is telling, while even the likes of Athletic Bilbao, Real Sociedad and Eibar have conceded fewer league goals than the European champions this season.
In terms of what is ahead - Madrid will travel to Eibar and host Athletic Bilbao in their two after this one, before finishing the month with matches against Getafe and Rayo Vallecano. May then brings their final three league games of the campaign against Villarreal, Sociedad and Real Betis.
The fact that the club are not involved in the Champions League at the quarter-final stage is a huge disappointment. There might have been a Copa del Rey final to fall back on, but Barcelona ultimately beat Madrid 4-1 on aggregate to ease into the final of the competition once again.
Big changes will need to be made next season, but for now, Zidane will just be concentrating on returning to winning ways following the disappointment of Wednesday night.
Recent form: WLWWWL
Recent form (all competitions): LLWWWL
Nine wins, 12 draws and nine defeats - that is how Eibar have performed in the league this season. A total of 39 points has left them in 10th position, just five points off the top six entering the business end of the campaign.
This is actually Eibar's fifth straight campaign in the top flight of Spanish football; they finished 18th, 14th and 10th in their first three seasons at this level, before posting ninth last term. It does appear that Los Armeros will finish around that position again, which would be seen as a huge success.
With a stadium that holds little over 7,000, it is still difficult to believe that the Basque club can compete at this level of football. Until Huesca qualified for the top flight last term, Eibar were widely regarded as the smallest club to have played in La Liga.
Jose Luis Mendilibar's side will head to the Bernabeu having lost just one of their last five in the league. On Wednesday, they recorded a 2-1 home win over Rayo Vallecano, but they have not actually been victorious on their travels since a 3-2 success at Girona back in October.
Four of Eibar's last five away league matches have finished level, however, and there is no question that the club will fancy their chances of preventing Madrid from collecting all three points this weekend.
Indeed, Eibar recorded a 3-0 victory in the reverse match back in November, with Gonzalo Escalante, Sergi Enrich and Kike on the scoresheet for the home side, who were excellent. That said, the Basque side have lost 3-0, 4-0 and 3-0 on three of their four trips to the Bernabeu in the league.
It is a tough period of the season for Eibar as they face Madrid, Sociedad and Atletico in their next three league fixtures, before taking on Huesca and Valencia in their final two games of April. A top-six spot is still very much open, though, and they will be looking to take all three points from the Bernabeu this weekend.
Recent form: WDLDDW
Head coach Mendilibar has no fresh injury concerns from the team that beat Rayo on Wednesday night, but Joan Jordan and Enrich are both expected to return to the starting XI.
Real Madrid possible starting lineup:
Courtois; Odriozola, Varane, Ramos, Reguilon; Ceballos, Casemiro, Modric; Isco, Benzema, Bale
Eibar possible starting lineup:
Dmitrovic; Cote, Ramis, Oliveira, Pena; Cardona, Jordan, Alvarez, Orellana; Charles, Enrich
Head To Head
As mentioned, Eibar recorded a 3-0 win in the reverse fixture earlier this season. However, the Basque side have lost 3-0, 4-0 and 3-0 on three of their last four visits to the Bernabeu in Spain's top flight.
The exception to the three defeats came in October 2016 when they picked up a 1-1 draw in the Spanish capital.
We say: Real Madrid 2-1 Eibar
Eibar certainly have the credentials to cause Madrid problems this weekend. However, we just fancy Zidane's side to have enough on home soil to collect all three points.