Born and raised in Santander, Cantabria and brought up at local Racing Club,[4] Helguera started playing professionally for Manchego CF and Albacete Balompié, appearing in 14 Segunda División games in the 1996–97 season for the latter.

He was purchased by Serie A side AS Roma after that, alongside compatriot César Gómez,[5] but left after one disappointing campaign to join RCD Espanyol, where his stellar performances as a defender under coach Marcelo Bielsa led to a Real Madrid deal even before 1998–99 had finished.

[6] With Real Madrid from July 1999, Helguera was an instant first choice, and scored five and six La Liga goals in his second and fourth seasons (both ended with the national championship conquest) alternating between defender and midfielder.

He was also instrumental in the capital team's two UEFA Champions League conquests: in the 2000 final, against fellow Spaniards Valencia CF, he started the match as a sweeper in a 3–0 win,[7] appearing as stopper two years later in the 2–1 victory over Bayer 04 Leverkusen.

However, after having appeared very rarely in the first part of the following season,[12] Helguera's contract was cancelled on 12 December 2008,[13] and both FC Dinamo București[14] and Los Angeles Galaxy declared interest in signing the player,[15] but nothing came of it and he retired from football later that year.