Ferreyra started his career with River Plate. He was signed by PFC CSKA Moscow in January 2004 and was part of the team that won the 2004–05 UEFA Cup, being on the bench for the final. In June 2005, he joined PSV Eindhoven on loan, but he returned to CSKA in December 2005. In 2006, he joined San Lorenzo, where he helped the team to win the 2007 Clausura.