When Atlético was relegated at the end of 1999–2000, Baraja left the club in a 2,000 million "pesetas" transfer to that year's UEFA Champions League finalists Valencia CF, who were looking to strengthen their central midfield following the sale of first-team players Gerard and Javier Farinós. In his first season he was a key element in the "Che"'s Champions League run, as they were beaten in the final for the second year running, this time losing in a penalty shootout to FC Bayern Munich, with the player scoring on his attempt.