"They were the best team on the field," Madrid coach Jose Mourinho said, "but I still think Madrid is the favorite to win in the second leg at the Bernabeu."
Madrid forward Karim Benzema limped off in the 31st minute with an ankle injury.
Celta Vigo goalkeeper Sergio Alvarez made a good save by from a bouncing shot by Luka Modric.
Also, Atletico Madrid beat Getafe 3-0 despite resting prolific striker Radamel Falcao. Getafe defender Alexis Ruano fouled Diego Costa in the area and the Atletico striker converted the penalty in the 17th minute.
Atletico's Felipe Luis pounced on a loose ball in the 79th to score and Gabriel Fernandez passed to Diego Costa who scored in the 87th.
Also in the last 16, Sevilla trounced Mallorca 5-0 with Alvaro Negredo scoring twice. He rose to head in his first from a corner in the 13th, and hit his second beyond goalkeeper Dadu Aouate five minutes later.
"We've played at a great level, and have been very effective," said Sevilla coach Jose "Michel" Gonzalez. "It might even seem excessive to win 5-0 away from home in the Copa."
Jesus Navas ran up the left flank, crossed a low pass to Gary Medel, who beat defender Pedro Geromel to score Sevillas' third in the 26th.
Sevilla defender Alberto Botia connected with a bouncing free kick to score the fourth in the 48th, before Antonio Luna found the net from an assist by Navas in the 85th.
"We knew it would be complicated because we faced Sevilla," said Mallorca coach Joaquin Caparros. "We now have to lift ourselves up because on Saturday we face a very important match" (against Athletic Bilbao).
In the second leg of the last 32, Eibar advanced on the away goal rule after drawing 1-1 with Athletic Bilbao for the same overall score.
After having reached the Europa League and Copa del Rey finals last season, Athletic has had a disappointing season so far to be 14th in the league standings.