VCF ran out 3-1 winners in front of new coach Rino Gattuso.
Recent signing Castillejo, formerly of AC Milan, said: "We felt really good. We did what we've been workng on all week -the rest of the squad even longer, from before I arrived. We saw a very good Valencia CF out there, with very good players who want the ball. We got a very good result against a very good team.
"My legs certainly feel heavy, even though they are skinny. I've had one week less of work compared to everybody else, but I'm eager to continue working, improve and help the team."
On Gattuso, he continued: "It's the mentality that the coach has. When I came here, I encountered a team with a fear of playing, but he's changed their ideas. There are very good players with a lot of talent. We hope to see a good Valencia CF this season."
Castillejo added: "Valencia CF are an historic side and always fighting to get ito Europe. The mentality of the players and the coach when he came here was to put the team back where the club belongs. That's the intention."