RMC Sport says the LaLiga side have brokered a deal with the Hornets for the transfer of the 32-year-old defensive midfielder.
And the report states that he is expected to arrive in Spain on Sunday evening with a two-and-a-half year deal in the offing- a day after he starred in Watford's Boxing Day fixture at Vicarage Road.
Capoue played 85 minutes as Watford beat league leaders Norwich 1-0 and the victory could be his 11th and last appearance this season.
His side are looking for a midfield replacement after Vicente Iborra's injury.
Iborra ruptured his ACL against Real Betis on December 13 and will miss the rest of this season.