The club was established on 5 March 1919 and officially approved on 18 March 1919, with Octavio Augusto Milego Díaz as its first president; incidentally, the presidency was decided by a coin toss. The club played its first competitive match away from home on 21 May 1919 against Valencia Gimnástico, losing 1–0.
Valencia moved into the Mestalla Stadium in 1923, having played its home matches at the Algirós ground since 7 December 1919. The first match at Mestalla pitted the home side against Castellón Castalia and ended a 0–0 draw. In another match the day after, Valencia won against the same opposition, 1–0. Valencia won the Regional Championship in 1923, and was eligible to play in the domestic Copa del Rey cup competition for the first time in its history.