Trailing 2-1 from the first leg of their last-16 tie, Portuguese star Ronaldo hit two early openers before settling the tie with three minutes remaining to calm his team's nerves after Sergio Ramos had been sent off with 17 minutes to go.
Sami Khedira added the fourth in the final minute and Jose Mourinho's men will now meet Valencia in the next round before a potential semi-final tie with eternal rivals Barcelona who knocked Madrid out last season at the quarter-final stage.
Mourinho recalled goalkeeper Iker Casillas for the clash after he had controversially dropped the club captain to the bench for the last two La Liga games.
Ronaldo, beaten to the Ballon d'Or by Lionel Messi on Monday, hit a sensational opener after only two minutes.
Receiving the ball from a short throw-in the Portuguese hit an unstoppable shot from wide on the left that fizzed and then bent before beating Sergio in the Celta goal at his far post to give Madrid the lead on the night and level the tie.
It was the same man who hit a shot over the bar from long range 10 minutes later, before he doubled his side's lead with one delicate touch on 23 minutes to finish off a Luka Modric through ball.
Mesut Ozil went close from a tight angle before Sergio Ramos hit a free-kick just over the bar as the Galician side struggled to contain the Spanish champions.
Celta had to wait until the 53rd minute for their first advance on the home goal when Park Chu-Young came close to connecting to a Quique de Lucas cross.
Celta coach Paco Herrera then replaced Park with his top-scorer Iago Aspas sensing his side were still in the tie.
The substitute immediately gave the away team more urgency and Casillas saved an Aspas shot on 63 minutes, before De Lucas gave him more of a test four minutes later.
The pressure increased for Madrid when Ramos was dismissed for his second yellow card and Casillas had to make important saves from Michael Krohn-Dehli and Augusto Fernandez before Ronaldo got his third with a crisp shot from the left to settle nerves on 87 minutes before Khedira made it four.
Also on Wednesday, Sevilla went through to the quarter-finals despite losing 2-1 at home to Mallorca, after they had won the first-leg 5-0.
They will now face Real Zaragoza who beat Levante 2-0 on the night, to make it 3-0 on aggregate.
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