Francisco "Isco" Alarcón and Luka Modric also scored for Real Madrid as it advanced to Sunday's final against either Barcelona or Atlético Madrid, who will play on Thursday.
Kroos curled in an exquisite right-footed shot from the corner flag in the 15th minute after spotting Valencia goalkeeper Jaume Domenech out of position. Domenech was talking to a defender when Kroos curled in the corner, and couldn't get back in time to stop the ball from crossing the line. He punched the ball but it still went into the top of the net.
"It was a lack of concentration by all of us," Valencia forward Denis Cheryshev said. "I think mentally if affected us. After this goal everything became harder."
Isco added to the lead with a shot from inside the area in the 39th, and Modric sealed the victory with a neat strike with the outside of his right foot into the far corner in the 65th.
Valencia's lone goal came through a penalty converted by Dani Parejo in second-half stoppage time after a handball by Madrid captain Sergio Ramos.
"We were in control from the start," Madrid midfielder Casemiro said. "We wanted to control possession and that's what we did. Everything went as planned. We can start thinking about the final now."
Madrid's victory came in a less-than-packed King Abdullah Sports City stadium, which seats 62,000. Real Madrid said before the tournament that only about 20 of its fans were expected to make the trip from Madrid to Saudi Arabia, though most of the local crowd was pro-Real Madrid.
"The fans showed their support," Casemiro said. "We have to thank them for how well they have welcomed us here."
The Spanish federation took the Super Cup to Saudi Arabia in a three-year deal reportedly worth 120 million euros ($134 million). It made the move despite criticism from human rights activists and advice from UEFA President Aleksander Ceferin for European soccer teams not to play in countries "where the basic rights of women are not respected."
Barcelona coach Ernesto Valverde acknowledged earlier Wednesday they were playing in Saudi Arabia for the money, saying "football is an industry today. ... That's really why we are here."
Amnesty International organized a small peaceful protest in front of the Saudi Arabia embassy in Madrid on Wednesday to call for the release of women activists who have been fighting for their rights in Saudi Arabia.
The Spanish federation praised the fact women are being allowed to watch the Super Cup games, something that was part of the deal when it accepted to play in Saudi Arabia. Many women and young girls were at the King Abdullah stadium on Wednesday.
The Super Cup was also played abroad last season, when Barcelona beat Sevilla in Tangiers, Morocco, in a single-game final.
This is the first year the Super Cup is played with four teams. It used to feature only the Spanish league winner and the Copa del Rey champion.
Valencia, last season's Copa winner, had complained about the change because it would have to play an extra match to try to win the title.
Madrid got the win despite traveling to Saudi Arabia without injured forwards Gareth Bale and Karim Benzema. Coach Zinedine Zidane used 22-year-old striker Luka Jovic up front, with five players forming the midfield.
Valencia also was depleted by injuries, and striker Rodrigo was among those absent.