Rayo Vallecano was founded in May 1924, marking the beginning of the club's history.
In 1949, Rayo Vallecano became affiliated with Atlético Madrid and added a red diagonal stripe to their kit. In 1949 the club reached Tercera División for the first time in its history.
In 1949–50 Rayo Vallecano was an affiliate of Atlético Madrid.
On 10 May 1976, the Campo de Fútbol de Vallecas stadium was opened and was called "New Stadium Vallecas".
In 1976, Rayo Vallecano's home stadium, Campo de Fútbol de Vallecas, was established, providing a venue for their matches.
In 1982, Rayo Vallecano made it to the Copa del Rey semi-finals.
The 1983–84 season was the worst during the 1980s. The club finished in the last position in Segunda División and was relegated to Segunda División B.
In 1989, Laurie Cunningham's death in a car crash marked a tragic end to his time with Rayo Vallecano, his last club.
In 1991, the Ruiz-Mateos family arrived.
In 1999, Rayo Vallecano gained promotion, consolidating their top-flight status.
In 2000, Rayo Vallecano qualified for the UEFA Cup, marking a significant achievement in the club's history.
In 2003, Rayo Vallecano experienced relegation, marking a downturn in the club's fortunes.
In January 2004, the name of the stadium changed denominations, as the wife was also named by her husband, businessman José María, the first woman president of an elite football team.
In 2004, Rayo Vallecano faced successive relegations, compounding their struggles.
In 2005, Míchel, a Real Madrid legend, was hired as manager of Rayo Vallecano.
In 2006, Rayo Vallecano finished second in Segunda División B and won the promotion play-off semifinal.
In June 2009, Rayo Vallecano announced plans for the construction of a new stadium.
In 2010-11, the team ranked in second position and returned to the top flight after an eight-year absence, only trailing champions Real Betis in spite of very serious economic problems.
In support of the 2011–12 Spanish protests, the squad decided to take one day off from training to join the demonstrations in March 2012.
In March 2012, the Rayo Vallecano squad decided to take a day off from training to join the 2011–12 Spanish protests.
In 2013, Rayo Vallecano signed a sponsorship agreement with Qbao in terms of expanding the club's profile overseas.
In March 2014, Huawei agreed to sponsor Rayo Vallecano for two league matches against Real Madrid and Athletic Bilbao.
In 2014, Rayo Vallecano offered to fund 85-year-old Carmen Martínez Ayuso after she was evicted from her house.
In August 2015, Rayo Vallecano purchased the majority of Oklahoma City FC, later renamed Rayo OKC, marking their entry into the American sports market.
In May 2016, Rayo Vallecano were relegated to the Segunda División after finishing 18th in the 2015–16 La Liga season, ending their five-year streak in the top-flight.
In February 2017, Roman Zozulya left Rayo Vallecano after fans accused him of belonging to far-right groups.
In 2017, David Cobeño was appointed as the sporting director of Rayo Vallecano. In 2017 they secured promotion with a 1-0 win over CD Lugo.
In 2017, Rayo Vallecano won the Segunda División, showcasing their success in the second tier of Spanish football.
On 20 March 2019, the club appointed Paco Jémez as head coach.
In 2019, a match involving Roman Zozulya was called off after fans sang "Zozulya you are a Nazi".
In August 2020, Andoni Iraola was appointed as the head coach of Rayo Vallecano.
In February 2022, Rayo Vallecano defeated RCD Mallorca to reach the semi-finals of the Copa del Rey, a feat not achieved since 1982.
As of 2023, the Autonomous Community of Madrid, owner of the stadium, has no known plans for a new stadium.
In 2024, Rayo Vallecano and its supporters were described by Jason Stockwood in the Guardian as being associated with left-wing politics.
In 2024-25 season, Rayo Vallecano qualified for European football after 24 years.
In 2025–26 season, Rayo Vallecano made their debut appearances in a major UEFA competition group or league phase by reaching the UEFA Conference League league phase.
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