Striker Benzema sustained the problem in Sunday's 2-1 La Liga win at Real Betis and was taken off at halftime, with Spanish media reports suggesting he could miss up to three weeks.
"He has been diagnosed with a fracture in the phalanx of the fifth finger in the right hand," said Madrid in a statement. "The player's situation will continue to be monitored."
Vallejo left the club's training session on Monday in tears, said Madrid newspaper AS.
The 22-year-old centre back has only been able to feature in two matches this season because of a series of physical problems, with this his fourth injury.
Benzema and Vallejo join Gareth Bale, Toni Kroos, Thibaut Courtois, Marcos Llorente, Marco Asensio and Mariano Diaz on the sidelines.
Madrid, fourth in the league, face Leganes on Wednesday in the Copa del Rey last 16 second leg before hosting Sevilla, third, on Saturday.
(Reporting by Rik Sharma; Editing by Christian Radnedge)
