Real turned up at their city rivals after a hard fought 3-2 away win at Atalanta in the Champions League in midweek.
Kylian Mbappe netted his 50th goal in the competition to open the scoring in Italy only to come off with a thigh injury which left the French star out of Carlo Ancelotti's calculations for this Saturday night away date in the Spanish capital.
Rayo Vallecano, on the back of a win last time out, stunned the visiting giants when Unai Lopez headed in Jorge de Frutos's pin-perfect cross with the game only four minutes old.
Rayo went for the kill at a raucous Estadio de Vallecas, only for de Frutos's shot to fly over the bar.
But the home side only had to wait until after the half hour mark to double their lead with another header, this time from Abdul Mumin.
That unexpected scoreline only lasted three minutes as Fede Valverde pulled one back for Real with a tremendous 25-yard strike for his fourth goal of the season.
Just as Rayo might have been thinking of going into the break in the lead, Jude Bellingham bagged the leveller in the first minute of first-half stoppage time.
The England international headed Rodrygo's clip into the bottom corner for his sixth straight goal in the league.
Real emerged in the second half intent on completing their comeback and their climb to the top of the table, for 24 hours at least.
Arda Guler had the ball in the back of the net but Real's Turkish teenager's effort was disallowed for clear offside.
Two minutes later, Rodrygo put the visitors in front for the first time in style, the Brazilian winger's shot flying into the top corner past Augusto Batalla.
Ancelotti introduced Vinicius Junior, who made his comeback against Atalanta from injury and also got on the scoresheet against the Serie A leaders.
The sight of the fearsome forward did not cow Rayo, who seconds later cancelled out Real's lead when Isi Palazon connected with Florian Lejeune's long range teaser to fox Thibaut Courtois.
That was how the encounter ended, with Real now on 37 points, one adrift of Barcelona but with a game in hand.
Real's next assignment is on Wednesday, in the Intercontinental Cup final in Qatar against Mexican side Pachuca with Mbappe set to be on the plane to Doha.
Barcelona will have a chance of extending their lead at the top when they host Leganes on Sunday.
Atletico Madrid are three points adrift of Barcelona having also played a game less, and have won five in a row in La Liga going into Sunday's home derby with Getafe.
