After finishing 13th for three seasons in succession, Real Sociedad were runners-up in 2002-03 La Liga, its best performance since 1988. The team's score at 76 was defeated by Real Madrid's 78 points, and La Real had four more points than third-placed Deportivo de La Coruna. The team was run by Frenchman Raynald denoueix. La Real's strikeforce was comprised of Turkish striker Nihat Kahveci with Yugoslav international Darko Kovacevic. They were the third and fourth highest scorers in the league, respectively with the score of 23 and 20 goals. The team also had Dutch International goalkeeper Sander Westerveld, as well as Xabi Alonso as a midfielder. Alonso was awarded The 2003 Don Balon award for the most outstanding Spanish footballer in league. Kahveci was voted the top foreign player, and Denoueix the most effective manager.
The most memorable moments of the season were in the game Real Sociedad beat Real Madrid in April, 4-2, in the Anoeta Stadium. The team remained in first place within La Liga until the penultimate game of the season, in which it was defeated 3-2 by Celta de Vigo, and Real Madrid beat Atletico Madrid by a score of 4-0. This means that Real Madrid secured first place two points ahead over Real Sociedad for the last game, which saw La Real defeated Atletico Madrid with a score of 3-0. Real Madrid beat Athletic Bilbao to take the title. The team was directly qualified into the 2003-04 UEFA Champions League after finishing second. They were unbeaten in its home stadium, scoring seventy-one goals, and was able to lose only six times.
Real Sociedad were placed in Group D of the 2003-04 Champions League with Juventus, Galatasaray and Olympiacos. The team took two wins while drawing three before losing against Juventus for second place and make it into the last 16. It was eliminated following losing by 1-0 in both matches against Lyon which was the host of one game. In 2003/04, La Liga saw a dramatic drop in performance for the club dropping to 15th place in the top 20. The score with 46 points just five points more than the relegated Real Valladolid.
9 September 2006 was the day that Real Sociedad played its 2,000th La Liga match. The same year they were exiled out of La Liga, finishing 19th and ending a 40-year run that was their longest stay in the top league. On the 9th of July, 2007 the the former Welsh player also Fulham coach Chris Coleman was appointed as the new club manager following the advice of the former Real Sociedad manager John Toshack and a prominent board member of the club. Coleman was dismissed on 16 January 2008.
For the season 2012-13 Real Sociedad finished in fourth spot and was selected for 2013-14 Champions League for the first time since 2003-04 and in the play-offs this time. In the play-offs the club defeated Lyon by 2-0 in both games to be able to advance to the stage of group play. Real Sociedad, however, was not able to get from the group stage, netting only one point.
On the 10th of November, 2014 Real Sociedad announced David Moyes as their manager of choice to succeed Jagoba Arrasate who was dismissed due to a string of poor performances. Moyes was the 6th British manager of the club's history. However, the club fired him on 9 November 2015, after slipping to 16th place in La Liga. On the same day Moyes was replaced by Eusebio Sacristan.
Sacristan signed a contract for the period of 30 June 2017. The agreement was renewed for 2017 however, Sacristan was dismissed in the end after an array of bad performances saw him finish 15th on the table, and dragged into a battle for relegation. Aiser Garitano took over as the new head coach, after he had arrived from Leganes. He was in charge for just seven months before his dismissal after the team finished at 15th position, with only five wins in 17 league games.
Garitano became the successor of the reserve coach and local player Imanol Alguacil on December 26, 2018. He managed an attacking style of play that combines speed as well as precision, power and enthusiasm.
In 2008, during Real Sociedad's annual general assembly Inaki Badiola, who was at the time, the club's president, alleged that the club's previous management of purchasing doping drugs. In 2013, Badiola gave an extensive interview where he accused the presidency of Jose Luis Astiazaran of paying as much as EUR300,000 to Eufemiano Fuentes for doping players from the team between 2001 and 2007. Jose Luis Astiazaran, who was Real Sociedad's president from 2000 and 2005 has denied the allegations.
Real Sociedad won its third Copa del Rey on the 3rd of April 2021. This was the year-long delay in the 2021 Copa del Rey final due to COVID-19. It was the Basque game in a Basque derby Athletic Bilbao.