Founded in 1924 in Vallecas, a working-class neighbourhood in southern Madrid. Rayo have yo-yoed between divisions throughout their history, but their bond with the local community has never wavered. For the residents of Vallecas, Rayo is more than a football club — it is a symbol of their identity.

Their left-leaning supporters' group "Bukaneros" are renowned for social activism, including anti-racism campaigns and homeless support initiatives. Rayo possess one of Spanish football's most distinctive fan cultures.

Their 8th-place finish in 2024-25 earned the club's first-ever European qualification. In the 2025-26 UEFA Conference League, they advanced through the league phase and reached the semi-finals — a remarkable achievement for Inigo Perez's young squad.