Real Madrid were cruising at 0-3 after two goals from Ronaldo and one from Benzema, but two penalties within three minutes, both converted by Jonathan Viera, brought bottom club Rayo Vallecano back into the match.
Real held on, however, to win the match 2-3.
Real Sociedad put five past Osasuna, with Ansotegi, Martinez, Griezmann, Chory Castro and Seferovic all finding the net at regular intervals. Real Sociedad are just outside the European places in seventh position.
Alex López scored the only game of the match as Celta came away from Sevilla with the three points.