Valencia found it tough going as they needed an 85th-minute equaliser from Rodrigo Moreno to secure a 1-1 draw at Las Palmas at the Canary island.
Jonathan Calleri had opened the scoring in the first half after latching onto Borja Herrera’s pass and sliding the ball past goalkeeper Jaume Domenech.
Valencia ramped up the pressure in the closing stages with Simone Zaza heading over before Rodrigo fired a low shot home.
Zaza then missed another late chance but Valencia will still expect to progress, with an away goal to the good and with home advantage in the second leg.
Meanwhile, new Sevilla coach Montella tasted victory in his first match in charge of the club at second division Cadiz.
The Italian, who replaced Eduardo Berizzo in December, brought midfielder Steven N’Zonzi back into the starting lineup, for his first appearance since November.
He was rewarded with a victory from his side with Nolito scoring the opener, and also hitting the woodwork, and Jesus Navas also on target.
Cadiz did have a chance to pull one back but saw Salvi’s effort saved by Sergio Rico, a rare penalty save from the Sevilla stopper, per Opta:
It’s a good start for Montella and sets the team up nicely for Saturday’s derby against Real Betis at the Ramon Sanchez Pizjuan Stadium.