Gian Piero Gasperini's side dominated from the outset against its LaLiga opponent and opened the scoring after 16 minutes, Hans Hateboer claiming his first goal in the competition with a close-range finish.
Josip Ilicic doubled the advantage shortly before the interval with a fine strike, before Remo Freuler curled home a third from long distance in the 57th minute.
Hateboer then claimed a second five minutes later, and while Denis Cheryshev pulled a goal back for Valencia, the Italian side will be supremely confident of finishing off the job in Spain in three weeks' time.
Atalanta started in blistering fashion and a clean through Mario Pasalic was superbly denied by Jaume Domenech after eight minutes.
There was little the Valencia goalkeeper could do in the 16th minute, however, with Hateboer storming past Jose Gaya to meet Alejandro Gomez's cross and prod his side into a deserved lead from six yards.
That advantage was nearly cancelled out on the half-hour mark when Ferran Torres crashed a powerful effort off Pierluigi Gollini's left-hand post, while Goncalo Guedes fizzed wide from a promising position soon after.
Valencia was punished for those misses three minutes before the interval when Ilicic thundered into the top corner from 18 yards to open his Champions League account.
Any hopes Valencia had of reining in the host side were extinguished shortly before the hour mark when Freuler's whipped effort from outside the penalty area flew past the helpless Domenech.
Maxi Gomez somehow failed to score from six yards, before Hateboer sprung the offside trap at the other end to latch onto Pasalic's pass and fire past Domenech, who should have done better.
Cheryshev pulled one back for the visitors in the 66th minute – just two minutes after coming off the substitutes' bench – but it did little to detract from a glorious night for Gasperini's men.