Raúl has spent his entire club career with Madrid, with whom he has won six Spanish league titles. Although he started out with cross-town rivals Atlético Madrid, he began the 1994-95 season in Madrid's C-team, but was promoted to first team status by coach Jorge Valdano after impressing with sixteen goals in nine games. He became the youngest player (seventeen years and four months) ever to play for the senior side, scoring in his second senior game against derby rivals Atlético Madrid. In all, Raúl registered nine goals in 28 appearances to help Real Madrid win the 1994-95 league championship in his first season. Over the next eight seasons, he won several honours, including another three La Liga titles and three Champions Leagues. For most of this time, Raúl struck up a prolific scoring partnership with Fernando Morientes (and later, Ronaldo). Raúl took over the captaincy of Real Madrid when Fernando Hierro retired in 2003, a responsibility he holds to this day. Unusually for such a successful and long-serving player, and despite appearing in two finals, 2002 (in which he scored) and 2004, Raúl has never won the Copa del Rey (Spanish Cup).

He became the first player to score fifty Champions League goals when he netted in a 2-1 group stage win over Olympiacos on 28 September 2005, and continues to be the all-time leader in both Champions League goals (66) and appearances (128). He was also the first player to score in two Champions League finals, netting in the finals of both 2000 vs. Valencia in Paris, and 2002 vs. Bayer Leverkusen in Glasgow. Samuel Eto'o later accomplished this feat, scoring in the 2006 final against Arsenal and in 2009 against Manchester United.

Raúl holds the distinction of having never received a red card throughout his 15 years at the professional level. On 11 November 2008, Raúl scored his 300th goal for Real Madrid with a hat-trick against Real Unión, with Real winning the game 4-3 but being eliminated on away goals after drawing 6-6 on aggregate. He has scored 321 career goals for Real Madrid, breaking the long-standing club record of Alfredo di Stéfano with a volleyed goal vs. Sporting Gijon on 15 February 2009. He is also the top active La Liga goalscorer with 226 of his 321 goals scored in La Liga matches, and is presently 4th on the all-time list, which is headed by Telmo Zarra with 251 goals. Raúl holds the record of all-time top La Liga scorer for Real Madrid with 226, a record previously held by Alfredo di Stéfano who scored 1 out of an overall La Liga tally of 227 in a Real Madrid shirt, for whom he played between 1953 and 1964.

Raúl and fellow long-serving teammate Iker Casillas were both awarded a 'contract for life' in 2008 - the terms of which stipulate that it will be renewed annually for as long as they play 30 games per season.