The pair combined at the end of the first half for Holman to put the hosts in front and did so again late in the second to restore the lead, Martens this time providing the finish.
The result was hard on the Spaniards, who levelled early in the second half through Mehmet Topal and had enough chances, particularly in a spell of total domination in the 20 minutes after half-time, to win the game with ease.
But the Eredivisie leaders rode their luck to ensure they would take the narrowest of advantages back to the Mestalla.
Valencia had their first sight of goal in the opening 10 minutes when Roberto Soldado met Sofiane Feghouli's cross with a deft touch, but the effort was tipped around the post by goalkeeper Esteban Alvarado.
The Spaniards, on a poor run domestically having lost their last two Primera Division games, were dominating possession.
Tino Costa and Antonio Barragan both had shots blocked as AZ's defending grew increasingly desperate, although Jozy Altidore was a useful outlet and kept the visiting defence occupied with his strength.
Valencia continued to look the more dangerous, though, and Costa had a fierce low free-kick from the edge of the area tipped behind by Alvarado.
But AZ went in front against the run of play on the stroke of half-time.
Holman peeled off his marker to get free at the back post and met Martens' right-wing corner with a beautifully cushioned side-foot volley directed back across the goal and into the far top corner.
That goal did anything but knock the stuffing out of Valencia, who started the second half as they had the first.
Pablo Hernandez had a shot crucially blocked by Ragnar Klavan after being set up by an excellent first-time lay-off from Soldado.
And the Spaniards levelled in the 51st minute when Topal rose above Dirk Marcellis at the back post to meet Barragan's deep cross with a fantastic header which found the bottom corner.
Valencia had their tails up and Soldado had a snap-shot turned around his near post by Alvarado, who then tipped the striker's flick from the resulting corner over the bar.
Jeremy Mathieu wasted a clear shooting chance, instead choosing to pass and the ball was cleared.
And AZ punished the profligacy by restoring their lead in the 79th minute as Holman and Martens again combined.
The Australian burst down the left and got to the byline where he cut the ball back for Martens, arriving into the area to place his finish into the roof of the net from around the penalty spot.
Valencia could not respond again as AZ claimed a first-leg lead.