It had been expected that the visit of Rayo would provide Neville with the best opportunity yet to break his duck, given that Paco Jemez's men had collected just four points on their travels so far this term.
However, it could have been even worse for Neville, who looked to be overseeing a surprise loss against the men from Madrid until Paco Alcacer struck two minutes from the end to salvage a share of the spoils.
There was 15 minutes on the clock when Jozabed Sanchez rounded off a flowing move on the counter-attack with a sweeping finish from just inside the penalty area to put the away team in front.
Rayo continued to dominate proceedings as the half wore on, but they were unable to double their advantage and that failing was duly punished 10 minutes after the restart as Alvaro Negredo scored his second La Liga goal of the campaign from distance.
Diego Llorente then restored Rayo's lead in the 69th minute when he scored from a corner and that appeared to be the winning moment until Alcacer intervened in the 88th minute.
Zakaria Bakkali sent over a cross for the Spanish striker, who was able to turn the ball in from close range.
The draw is the fourth that Valencia have recorded in the league under Neville's management, with the other two fixtures ending in defeat.