With Real Madrid from July 1999, Helguera was an instant first choice, and scored five and six La Liga goals in his second and fourth seasons (both ended with the national championship conquest) alternating between defender and midfielder. He was also instrumental in the capital team's two UEFA Champions League conquests: in the 2000 final, against fellow Spaniards Valencia CF, he started the match as a sweeper in a 3–0 win, appearing as stopper two years later in the 2–1 victory over Bayer 04 Leverkusen.