On 24 November 2014, Real Madrid reached an agreement in principle to sign Asensio. On 5 December the deal was officially announced, with the player signing a six-year deal for a €3.9 million fee and remaining with the Bermellones on loan until the end of the campaign.

On 20 August 2015, after making the whole pre-season with Real Madrid, Asensio was loaned to RCD Espanyol in La Liga .He played his first game in the competition on 19 September, featuring 86 minutes in a 3–2 success at Real Sociedad,and he ended his spell at the Estadi Cornellà-El Prat with 12 overall assists.

Returned to the Santiago Bernabéu Stadium for 2016–17, Asensio’s first competitive appearance took place on 9 August, as he played the full 120 minutes and scored through a 25-meter effort in a 3–2 win against fellow Spaniards Sevilla FC for the UEFA Super Cup.He made his first league start 12 days later, netting the second goal in a 3–0 success at Real Sociedad.

Asensio featured 23 times over his first season, scoring three times as the club won the national championship for the first time since 2012.He added as many goals in that year’s UEFA Champions League, including one in the final against Juventus FC (4–1 in Cardiff) to give the Spaniards their twelfth title in the latter competition.

Asensio scored his first goal of the 2017–18 season with a 25-yard finish in a 3–1 win against FC Barcelona at the Camp Nou, for the Supercopa de España,He repeated the feat with a similarly spectacular effort in the second leg, in a 5–1 aggregate triumph.

On 28 September 2017, Asensio extended his contract until 2023.