The Spanish giants achieved the unprecedented feat during their 2-1 win over Shakhtar Donetsk on Wednesday evening.
Karim Benzema netted both goals as Carlo Ancelotti’s side recorded a hard-fought victory over their Ukrainian opponents.
The Frenchman’s opening goal of the evening was Real Madrid’s 1,000th goal in the competition and he went ahead to add the club’s 1,001st goal.
The Blancos remain the most successful team in Europe’s flagship inter-club competition, having won the Champions League a record 13 times.
The club’s first-ever goal in the competition was scored by Miguel Munoz. Alfredo Di Stefano then scored Madrid’s 100th goal four tournaments later.
Ferenc Puskas scored the club’s 200th goal in the 1965/66 campaign and Jensen netted their 300th goal in the competition.
Real Madrid’s 400th goal in the Champions League came in the 1990/91 campaign courtesy of Sebastian Losada.
Guti hit the club’s 500th goal, David Beckham its 600th goal and Gonzalo Higuain its 700th goal in the Champions League.
Meanwhile, Cristiano Ronaldo was the player to score Real Madrid’s 800th and 900th goals in the competition.