Jose Mourinho's men left it too late to produce the three goals needed to overcome Borussia Dortmund in midweek, and will need to focus their attention back on La Liga.
It may not be that easy, given Barcelona's massive lead at the top. With that being said, Los Blancos still need the points to ensure second spot.
Valladolid—managed by former Valencia defender Miroslav Djukic—are enjoying a successful return to the Primera Division.
They've already reached 40 points and sit 12th, 10 points ahead of the bottom three with five matches left.
Madrid emerged from their Champions League semifinal with no new injury concerns.
Alvaro Arbeloa remains a doubt with a back injury, but Brazilian full-back Marcelo may be fit to return.
Cristiano Ronaldo and Michael Essien are likely to be rested, among others, as Mourinho is expected to rotate his squad.
Djukic has a relatively clean bill of health at Real Valladolid as well.
Henrique Sereno is the only continuing absentee. The Portuguese centre-back is suffering from a knee injury.
Elsewhere, Javi Guerra and Manucho will fight it out for the No. 9 role and Patrick Ebert's return to form and fitness has been a boost in recent weeks.
Los Blancos have won 10 of their last 11 La Liga games, drawing the other, since losing to Granada at the beginning of February.
It is thanks to that run that they have been able to hunt down city rivals Atletico in the bid to finish as No. 2 to Barcelona.
They have lost twice in the last month in all competitions, though—trips to Galatasaray and Borussia Dortmund proving unsuccessful.
Valladolid themselves are on a three-game unbeaten run in the league, which has cleared any—however slight—relegation fears.
Prior to that, they had lost three on the spin and were without a win in five.
Men to Watch
The young forward put in a phenomenal shift in the Madrid derby last weekend, and is a likely starter again on Saturday night.
Defending from the front, he completed five of six tackles and won 10 of 12 aerial duels (via Squawka). He'll be keen to add to his two La Liga goals, though, rather than become known as a workhorse.
Restricted to just 18 starts, the injuries which have plagued Ebert will be one of Valladolid's biggest regrets this season.
Six goals and six assists have come in those games. He's been his club's most influential player, and his totals include a goal and an assist in his last two games.
When the two sides met in Valladolid in December, the home side twice led.
Manucho's opener was cancelled out by Karim Benzema before the former Manchester United forward put his side back ahead again.
They couldn't hold on, though. A Mesut Ozil brace ensured Madrid picked up all three points in the 3-2 win.