Rayo Vallecano were founded on 29 May 1924 in the Puente de Vallecas district of Madrid, a traditionally working-class neighbourhood with a strong left-wing identity. The club emerged from the merger of several local workers' clubs and took its name from one of them — "Rayo", the Spanish word for thunderbolt.
For much of their existence, Rayo have been a yo-yo club, regularly moving between La Liga and the second division. Their most celebrated period came in the 2000–01 season, when they reached the quarter-finals of the UEFA Cup, falling only to eventual runners-up Alavés. They had qualified for that competition through the fair play draw after finishing ninth in La Liga the previous year. Their most significant domestic honour is the 2017–18 Segunda División title, which secured promotion back to the top flight. In the 2024–25 La Liga season, Rayo finished eighth, qualifying for European competition for the first time in over two decades and going on to reach the 2025–26 UEFA Conference League league phase.
Within Madrid, Rayo occupy a distinct position: historically the city's third club behind Real Madrid and Atlético Madrid, and proud of it. Their identity is inseparable from Vallecas — a neighbourhood that was a Republican stronghold during the Spanish Civil War and grew through waves of working-class migration. The ultras group Bukaneros are known for politically charged displays in the stands, regularly raising anti-fascist, anti-racist, and pro-workers banners. That community-first culture, as much as any trophy, defines what Rayo Vallecano are.