Dimension Data's King finished ahead of chasers Bauke Mollema (Trek-Segafredo) and Dylan Teuns (BMC) at the end of the mountainous 200.8km stage from Talavera de la Reina to La Covatilla.
"To get one stage win was like I said a dream come true," the tired American said after the stage. "I worked really hard for that. I made winning a grand tour stage my goal, a major career goal.
"So, today was really important, really nice to show it wasn't a random thing, the first one. The team and I prepared really well for opportunities like this.
"I've never suffered that much in my entire life on the last climb. So I'm still a little bit foggy in my mind. I'm sure it will sink in soon what an accomplishment that is...another day out front for Team Dimension Data and Qhubeka. It's a real honour.
What's next for King at the Vuelta?
"Keep the ball rolling! I think there are more breakaway days coming up so yeah, I'll keep looking for opportunities."
The final climb produced a rearranging of the general classification with Simon Yates (Mitchelton-Scott) taking the red jersey from Rudy Molard (Cofidis) after a measured ride to the finish.
Yates finished the stage safely in 9th place to lead Movistar's Alejandro Valverde and Nairo Quintana by one and 14 seconds respectively on the general classification.
How Stage 9 went down
King, Mollema, Teuns and Luis Angel Mate (Cofidis) were all part of an original 11 rider break which stayed at the front of the race from its creation to the Alto De La Covatilla finish.
After a quiet Stage 8, mountains classification leader Mate was active once again, taking the maximum 10 points on the Puerto del Pico, three on the Alto de Gredos and five more at the crest of the Puerto de Peña Negra to further extend his lead.
The time gap to the peloton blew out to almost 10 minutes after the Puerto de Peña Negra climb placing King temporarily in virtual red and ensuring a rider from the break won the stage as it became a race in two parts - one for the stage and the other to decide the latest general classification result.
The break slowly fell apart inside the final 20km with King the protagonist after dropping his former companions and going solo with Mollema in a desperate but ultimately futile chase.
Five minutes behind, the final climb was having a similar effect on the peloton with race leader Molard dropped and the final general classification selection sorting itself out toward the finish at La Covatilla.
Of the general classification contenders, it was Quintana and Miguel Angel Lopez (Astana) and Wilco Kelderman (Sunweb) who looked the goods while Valverde faded slightly when the pressure was on.
Michal Kwiatkowski (Sky) also struggled and his days as a possible contender for the overall in Madrid appear over.
Rest is next
Get your rest tonight while the peloton does and see you back here Tuesday from 11.15pm when the race continues with Stage 10,177km from Salamanca. VIII Centenario Universidad de Salamanca to Fermoselle. Bermillo de Sayago. It's a flat stage - yes, actually flat - so we should the sprinters shine.