At the start of the January transfer window, Wolves' head coach Nuno Espírito Santo confirmed that Vallejo was likely to leave and added that the defender "had moments that he played, moments that he performed well, and some moments he didn’t perform well ... Clearly it didn’t work out". On 24 January 2020, he was loaned to Granada CF of the Spanish top level until June; on 18 August, the move was extended for another year.