The Portuguese also scored a hat-trick in Real's 8-2 thrashing of Deportivo la CoruÑa on Saturday and now has 12 goals to his name in just eight appearances this season.
The Santiago Bernabeu had been briefly stunned as Ronaldo was penalised for a foul on Pedro Mosquera as he tried to clear inside his own area after 15 minutes and Edu Albacar slammed the spot-kick past debutant Keylor Navas in the Madrid goal.
However, the European champions responded in style as Gareth Bale headed home an equaliser before a Ronaldo penalty put them in front.
Ronaldo then produced a towering header to send the hosts in 3-1 up at the break before completing his hat-trick with another penalty and rounding off the scoring with a cool finish from Bale's pass in stoppage time.
"To score four goals is very difficult. I thank my teammates for passing me the ball to be able to score," said Ronaldo.
"It was a very good game for us. We started a little badly, I gave away the penalty, but we responded well with two quick goals."
The build up to the game had been dominated by Real coach Carlo Ancelotti's decision to hand Navas his debut ahead of the under fire Iker Casillas in response to his side's defensive troubles so far this season.
However, the Costa Rican was left with no chance when Albacar slammed his penalty into the top corner to give the visitors' the lead.
Things very nearly got worse for Real moments later as Marcelo was lucky to escape with just a yellow card after bringing down Garry Rodrigues on the edge of the box and Albacar curled the resultant free-kick inches wide.