On 25 July 2019, Ceballos joined English Premier League club Arsenal on a season-long loan. He made his first start for Arsenal on 17 August in a 2–1 victory over Burnley, providing two assists in a man-of-the-match performance. On 3 October, Ceballos scored his first goal for Arsenal in a 4–0 home victory against Standard Liège in the group stage of the 2019–20 UEFA Europa League. On 28 June 2020, he scored his second Arsenal goal against Sheffield United in stoppage time to secure a 1–2 win in the quarter-final of the 2019–20 FA Cup. He played the full 90 minutes in the final, in which Arsenal beat Chelsea 2–1 at Wembley Stadium.