On 23 July 2018, Piccini returned to La Liga, signing for Valencia for a fee of around €10 million. In his debut season, he made 37 appearances, mostly as a starter, and scored a last-minute winner in a 2–1 home win over SD Huesca on 23 December. Seven of these games were in the victorious Copa del Rey run, including 18 minutes as a substitute for Kévin Gameiro in the 2–1 final win over FC Barcelona on 25 May 2019; the result was Valencia's first honour since 2008.