The highlight of this period was the runner-up finish in the 2001 Copa Libertadores, where they lost the final against two-time champions Boca Juniors in a penalty shootout. This was Cruz Azul's first participation in the competition. The team was the sensation of that edition, beating teams such as Defensor Sporting, Sao Caetano, Centro Deportivo Olmedo, Cerro Porteño, River Plate and Rosario Central.
In 2003 it also qualified for the Cup, but was eliminated in the quarterfinals by Santos of Brazil. This result was influenced in a decisive way by the internal conflict that led to the termination of the contracts of a large part of the staff.
From 2001 to 2004, Cruz Azul had seasons that were barely in the mid-table due to internal problems. However, they managed to qualify for the playoffs, being the only team that managed to qualify for the post-season while in eleventh place overall for three consecutive seasons and even reached the semifinals (Clausura 2004). However, in the 2004 Apertura, the soccer crisis that had been dragging on for years finally exploded. They finished second to last in the table, just above Tecos and Santos in terms of goal difference, making it the worst tournament in the history of the Cementera.
In 2005, the team returned to the top of the table and had good seasons in the regular phase, but did not achieve the expected level of success in the playoffs. During this period, Rubén Omar Romano and Isaac Mizrahi took charge of the team. In 2007, under the direction of Sergio Markarián, the light blue team won the 2007 Pan-American Cup against Boca Juniors. The team reached the final of the 2008 Clausura to win the runner-up position against Santos. However, the Cementera board was unable to reach an agreement with the Uruguayan coach to renew his contract, terminating his employment relationship.
For the 2008 Apertura, the technical direction fell to Benjamín Galindo, Markarián's assistant in the previous season. Cruz Azul maintained the good momentum from the Clausura and managed to reach the Final once again, this time against Toluca. The Diablos Rojos would win the first leg 0-2 at the Estadio Azul, but La Máquina would recover from this result and win by the same score at the Nemesio Diez, forcing extra time and then penalties. There, luck would not be with the light blue team and they would fall 7-6, losing the title once again.
The 2009 Clausura would be the worst tournament in Cruz Azul's history in the First Division. With only two wins, seven draws and eight defeats (13 points), La Máquina was in last place overall for the first and only time in its history.
The 2009 Apertura saw the return of Enrique Meza and with him, the arrival of players such as Argentinean Emanuel “Tito” Villa and national team goalkeeper José de Jesús Corona. Thus, Cruz Azul, after a tournament without qualifying for the playoffs, once again showed good soccer, especially thanks to the Jaime Lozano-Emanuel Villa partnership. Emanuel Villa would score 17 goals in the regular tournament, being scoring champion that season, and scored more in the playoffs, and Cruz Azul finished 2nd overall. However, a 4-3 defeat in the first leg of the final against Monterrey, and a 1-2 loss in the second leg at the Estadio Azul with an aggregate score of Cruz Azul 4-6 Monterrey, again left them on the brink, once again settling for the runner-up spot. In the following tournament, the 2010 Bicentennial, Christian “Chaco” Giménez arrived at the club, but that tournament, however, they were unable to qualify for the playoffs and lost another final in the 2009-2010 Concachampions against Pachuca in the last minute.

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