The visitors will enter the contest off the back of a 1-0 home defeat to Valencia in their last La Liga match, while Deportiva drew 1-1 with Atzeneta in Segunda Division B last weekend.
Deportiva are already enjoying their best ever season in the Copa del Rey, having reached the round of 32 for the first time in their history, overcoming Tarazona and Sabadell to advance to this stage.
Raul Casan's side were comfortable winners over Tanazona in the first round, recording a 4-1 victory, but they needed penalties to edge past Sabadell on January 7 after a goalless draw.
Deportiva currently operate in the third tier of Spanish football, earning promotion for the 2019-20 campaign, where they finished fourth during a successful season.
The home side, as mentioned, will enter this contest off the back of a 1-1 draw with Atzeneta last weekend, which has left them down in seventh spot in Segunda B, picking up eight points from their nine matches.
Valladolid, meanwhile, thumped Cantolagua 5-0 in the opening round of this season's Copa del Rey before recording a 3-2 victory away to Marbella on January 5.
Oscar Plano scored twice for the La Liga club in the last round, including a winner in the 110th minute, as they secured their spot in the round of 32.
Valladolid have never won this competition but have reached the final on two occasions, most recently in 1989, when they lost 1-0 to Real Madrid, with Rafael Gordillo scoring the only goal of the contest.
Sergio Gonzalez's side have struggled for consistency during the 2020-21 campaign, picking up just 18 points from 18 matches to sit down in 17th position, just two points outside of the relegation zone.
The White and Violets will also enter the match off the back of a disappointing 1-0 home defeat to Valencia, with Carlos Soler's goal deciding the contest in the 76th minute.
Pena Deportiva Copa del Rey form: LLLLWW
Pena Deportiva form (all competitions): LLDWWD
Real Valladolid Copa del Rey form: DWWLWW
Real Valladolid form (all competitions): DLDWWL
Deportiva have no fresh injury concerns heading into this weekend's contest, and it would not be a surprise to see the same XI that started the last round against Sabadell again take to the field.
Pena Deportiva possible starting lineup:
Martinez; Andrada, Gonzalo, Pomar, Fonda; Ramirez, De Val, Jou, Colau; Lopez, Victoria
Real Valladolid possible starting lineup:
Jimenez; Hervias, Joaquin, Sanchez, Ignasi; Fede, Michel, Alcaraz, Plano; Kuki, Guardiola
We say: Pena Deportiva 0-2 Real Valladolid
Deportiva's progression to this round is a mark of their improvement in recent seasons, but we are finding it difficult to back the home side as Valladolid's strength in depth should prove too much for the third-tier club.