Zidane made three changes from the side that won against Getafe in La Liga at the Estadio Coliseum Alfonso Pérez on Saturday.
Real Madrid got off to a perfect start in Saudi Arabia as Toni Kroos found the breakthrough in the opening 15 minutes with an outrageous strike.
Isco doubled Los Blancos’ advantage on the cusp of halftime before Luka Modric got the third goal on the 65th minute mark.
Valencia had a consolation from Daniel Parejo, who scored from the penalty spot late in injury time.
The French tactician’s decision to start the game with five midfielders paid off as all three goals were scored from that source.
Speaking after the game, Zidane admitted that his men interpreted the game very well with five midfielders, and insists Real Madrid will still be daring in subsequent games.
"We could have played with wingers, but I decided for Isco and Luka [Modric] to do more inside," the Frenchman said after the match.
"The most important thing was the pressure high up and playing football well.”
"We wanted to hurt the opponent from the beginning, we interpreted everything well.”
"We always like to do new things, in the next game we will do other things."
Real Madrid will now face the winner between Barcelona and Atletico Madrid on Sunday at the King Abdullah Sports City.