After five successful seasons in Mexico, with 99 goals to his name, Sánchez drew the attention of several Spanish sides, and signed with Atlético Madrid in 1981. He turned down an offer to play for Arsenal FC, a prominent English soccer team. It took him a while to find his feet in La Liga, but by the 1984-85 season he was scoring regularly with a team that won the Copa del Rey, finished in second place in the Spanish League and won the Spanish Super Copa. That year Hugo also won his first Pichichi trophy for being the most prolific scorer in the league.
At the high-point of his career, he signed for Real Madrid in 1985 and played with players such as Camacho, Butragueño, Gordillo, Valdano and Míchel. This team won five consecutive league les (from 1985-86 to 1989-90), the Copa del Rey in 1989, and the UEFA Cup in 1986. During those five years, Sánchez garnered four consecutive Pichichi trophies, scoring 207 goals in 212 games. He scored 27 or more goals in four consecutive seasons between 1986 and 1990, including 38 goals in the 1989-90 season, tying the single-season record set in 1951 by Telmo Zarra and earning the European Golden Boot award to the best scorer in Europe. Overall, he scored 23 goals in 45 European Cup games.