Carlo Ancelotti's men started the brighter of the two sides, putting Valencia under a lot of pressure high up the pitch, but Los Che managed to weather the storm and, as the half drew on, they looked the better of the two teams.
Edinson Cavani was the danger man as he tested Thibaut Courtois multiple times, but the Belgian was always equal to the admittedly central strikes.
Karim Benzema was a quiet figure throughout the first half, but in just one moment he made the biggest impact.
Played through on goal by Eder Militao, the Frenchman was bundled over in the box by Eray Comert, before dusting himself off and converting the subsequent penalty, giving his side the lead going into the break.
Valencia couldn’t have asked for a better start to the second half, equalising within 24 seconds of the kick-off as they caught Madrid napping.
A deep cross into the box from Toni Lato was volleyed in at the back post by Samuel Lino, providing a shock to Los Blancos’ system.
The equaliser certainly woke the Real players up, though, and they soon regained control of possession and momentum. They struggled to create any clear-cut openings, however, while Los Che remained a threat on the counterattack.
After a subdued second half, an extra 30 minutes were required to decide the winner of the tie. Vinícius Junior was denied towards the start of extra time when Giorgi Mamardashvili brilliantly stopped his curling effort from the edge of the box.
The Georgian shot-stopper was again called into action at the end of the first additional quarter of an hour, this time getting down low to palm Federico Valverde’s driven effort away from goal.
Once again though, nothing could split the two teams, with penalties needed to find a winner.
Real showed their experience on the big stage to convert all of their penalties, whilst Comert and Jose Gaya missed two of Valencia’s five, meaning Madrid head into Sunday’s final against either Real Betis or Barcelona.
"I don't care if it's Barcelona or Betis, the important thing for us is to be in the final," Real's Marco Asensio told Movistar Plus.
"It was a difficult game, with not much pace by both teams so we struggle a bit but reached the final and we came to win the title.
"We came to the second half with a plan but they equalised soon after the break and that changed our approach. The ball just didn't wanted to go in for us tonight, but we are happy to be where we wanted."
Flashscore Man of the Match: Karim Benzema (Real Madrid)