Born in Santander, Cantabria, Helguera started playing professionally for Manchego CF and Albacete Balompié, appearing in 14 second division games in the 1996–97 season for the latter. He was purchased by Serie A side A.S. Roma after that, alongside compatriot César Gómez, but left after one disappointing campaign to join RCD Espanyol, where his stellar performances led to a Real Madrid deal even before 1998–99 had finished.