Rayo Vallecano saw the light of day on 29 May 1924 in the home of Prudencia Priego, wife of the club's first president Julián Huerta. In 1949, after an agreement with Atlético Madrid, a red diagonal stripe was added to the team's kit, and the club reached Tercera División for the first time in its history.
In 2010–11, Rayo Vallecano 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 late March 2012, in support of the 2011–12 Spanish protests, the squad decided to take one day off from training to join the demonstrations.
Campo de Fútbol de Vallecas is a football stadium located on Calle Payaso Fofó 1, Vallecas. Opened on 10 May 1976, at first it was called "New Stadium Vallecas", but in January 2004, 13 years after the arrival of the Ruiz-Mateos family in 1991, it changed denominations, as the wife was also named by her husband, business man José María, the first woman president of an elite football team.
It has a capacity of 14,708 spectators in an all-seated format, and dimensions of 102x64m. Additionally, one of the goalends does not have a grandstand, just a big wall with information panels.
In June 2009, the club announced plans for the construction of a new stadium.