The former defender will continue to work under Roy Hodgson as part of the England set-up.
The La Liga side were looking for a new manager after Nuno stepped down last week, and while many will not be surprised that a Neville has been given the job, it is certainly a shock that it is Gary, and not his brother Phil, that has been appointed.
While Gary Neville has established himself as one of the most respected pundits currently working in the game, it was his brother that was already on the coaching staff at the Mestalla, and was put in temporary charge following Nuno's departure.
The England coach - who Sky Sports report will continue to work with Roy Hodgson as part of the national side - had been linked with the vacancy at Championship side Fulham (in the Independent), but instead moves to a side that currently sit in the top half of La Liga, and still have a chance to progress to the knockout phase of the Champions League.
The decision to move to Spain may well confirm many people's belief that Neville is set to follow in Hodgson's footsteps by becoming England's next manager. Hodgson spent much of his career coaching in Europe before establishing himself in his home country, and it appears that Neville has decided to approach his managerial career in a similar way.