Bale and James both looked certain to leave Madrid this summer but each were included by Zinedine Zidane in a line-up that was without a single new signing for the second game in a row.
Instead, Karim Benzema looked to have won it when he found the corner in the 82nd minute at the Santiago Bernabeu but Sergi Guardiola levelled in the 88th and Valladolid snatched a 1-1 draw.
"It leaves a bad taste in the mouth because we scored, we did the hardest part," said Zidane.
"After going ahead, we should have been more pragmatic and had more conviction to do what was required."
With Eden Hazard and Ferland Mendy both injured, Luka Jovic and Eder Militao on the bench and Rodrygo gaining experience in the B team, there was little to show for Madrid's 300 million euros spent.
Jovic came on, and hit the crossbar, yet this was a side looking back not forwards, James starting his first Madrid match since April 2017, alongside Bale, whose reintegration continues after his impressive display last weekend against Celta Vigo.
Both were dynamic, the team's chief creators, and Zidane said afterwards he only took James off in the second half because he was feeling some discomfort.
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"James played well, he came off as he had a little issue and we didn't want to take any risks," said Zidane. "He played well, especially in the first half, just lacking a goal when he had the chance."
It is a familiar problem because while Madrid scored three in Vigo, they were toothless here, their lack of cutting edge in the final third, so often their undoing last season, painfully evident again.
They had 22 shots, but only four on target and even fewer could be classed as clear opportunities.
If club president Florentino Perez was watching, he may have concluded the club's pursuit of Neymar is worth accelerating.
Valladolid, who won away at Real Betis on the opening weekend, rode their luck too but defended with determination and Guardiola's finish was certainly not their only chance.
Madrid had 14 attempts at goal in the first half alone and while none of them could go down as glaring misses, Valladolid were breathing heavily by the break.
Bale and James were at the heart of things, their energy and enthusiasm appreciated by the crowd, who were in a far more sympathetic mood than during the miserable final weeks of last season.
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A fresh start meant a clean slate perhaps, for Bale too, as he sent the kind of shot over the bar that would have brought whistles from the fans in May but instead now drew applause.
Bale looked more likely to score than anyone else, falling just short of Isco's cross and then stabbing James' cutback wide. James and Benzema both saw a handful of half-chances go begging.
Valladolid broke through once before half-time after Casemiro's mistake allowed Enes Unal to storm the Madrid penalty area but Sergio Ramos intervened.
They might have had an even better chance early in the second period but Guardiola's ball was blocked when Unal looked set to go through one-on-one.
James departed just before the hour for Vinicius Junior and soon after, Isco was replaced by Jovic, whose first touch was a flicked header that grazed the top of the crossbar. Bale's run and cross had created it.
Valladolid had survived and sensed the tension growing. They might have nicked it when Waldo Rubio's cross evaded everyone, including Guardiola who was free at the back post.
Instead, Benzema scored with a brilliant strike on the turn that found its way into the corner and seemed certain to win it for Madrid.
But Valladolid had another trick up their sleeve as Guardiola ran free of Raphael Varane at the back post. He poked the ball through the legs of Thibaut Courtois.
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