Rayo Vallecano saw the light of day on 29 May 1924 in the hometown of Prudencia Priego, wife of the club's first president Julián Huerta. Greatly inspired by River Plate (a Football club from Argentina), 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.
In August 2015, Rayo Vallecano purchased the majority of Oklahoma City FC, a NASL expansion franchise which had yet to officially play a game renaming the club to Rayo OKC. It was the first ever entry of a Spanish club into the American sports market, and mirrored a 2013 sponsorship agreement with Qbao in terms of expanding the club's profile overseas.
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.
In 2014, 85-year-old Vallecas resident Carmen Martínez Ayuso was evicted from her house after living there since the 1960s. Rayo Vallecano and particularly coach Paco Jémez were touched by her story, and subsequently offered to fund Martínez for the foreseeable future.