On 26 August 2011, Tamudo moved to Rayo Vallecano on a one-year deal, freshly promoted to the top level. He was a starter throughout most of his first season, notably scoring against his main club Espanyol but in a 1–5 away loss; on 13 May 2012, he was brought from the bench to net the game's only goal in the 90th minute at home against Granada CF in the last matchday, with the Madrid outskirts team finally avoiding relegation at the expense of Villarreal CF.