Can Arsenal survive 90 minutes in European soccer’s torture chamber?

For anyone else, losing 3-0 to Arsenal in the first leg of a quarterfinal would rightfully be considered a disaster. Real now has just an 8.9% chance of advancing to the semis from this position, according to simulations by Opta Sports. But the swaggering Madridistas, the defending European champions, beg to differ.

They are betting on a turnaround based on the simple fact that Wednesday’s return leg will take place inside one of the scariest venues in sports: the Santiago Bernabéu Stadium.

“If you look at the game of tonight, there is no possibility," Real manager Carlo Ancelotti said after the first game. “But in football everything can happen. You have to believe, you have to have trust. Because sometimes—a lot of times—in the Bernabéu, it happens."

This is the history of Real Madrid—and Real Madrid won’t let anyone forget it. Over the past half-century across the top two European competitions, the club has pulled off second-leg comebacks from at least two goals down on nine separate occasions.

And every single one of those took place at the Bernabéu. Which is why the mashed-up Spanish and Italian words of the former Real Madrid forward Juanito are still quoted every time the club finds itself in this position:

Noventa minuti en el Bernabéu son molto longo. Ninety minutes in the Bernabéu are extremely long.

Juanito knew the club’s aura better than most. He played on the Real team of the 1980s that turned second-leg comebacks into its signature. Back then, Madrid managed it five times in the space of just two seasons in the UEFA Cup, now known as the Europa League. The most spectacular reversal came in the 1986 round of 16 when Real chased a 5-1 defeat on the road against Borussia Mönchengladbach with a 4-0 home win to advance on the now-defunct away-goals rule.

More recently, Real also flipped the script in the 2015-16 Champions League against Wolfsburg. It lost 2-0 on the road before striking back at home with a not-so-secret weapon named Cristiano Ronaldo. He scored a hat-trick and Real went on to win the whole tournament.

“I can say from experience, usually when Real Madrid are chasing, there’s always that phase where you have a feeling that they will score one goal," Ronaldo’s former Madrid teammate Toni Kroos told a German podcast this week.

So come Wednesday in the Spanish capital, the home fans will do all they can to turn the freshly renovated Bernabéu into a $1.2 billion torture chamber. Everything will be designed for maximum intimidation: a full white-out among the 80,000 supporters, a relentless press full of hard tackles and chippy fouls in the early minutes, and high-pitched whistling every time an Arsenal player touches the ball.

A single goal for Real would turn the evening into the most harrowing psychological test the visitors have faced all season.

“The team has to decide it in the first 15 minutes," Kroos said. “That’s how it should go ideally. You need to make Arsenal think: ‘Woah, it’s not over yet.’"

Most of all, there will be constant reminders of Real’s heritage, from pregame montages to the defending champions’ patch on their jersey. As far as Madrid is concerned, the weight of history might as well be its 12th man. This is the same club that drove through the streets of London to the first leg in a bus plastered with all of its major accolades, including its 13 European Cups and FIFA’s Club of the 20th Century award.

Then again, that didn’t seem to intimidate Arsenal in the first leg, nor does coach Mikel Arteta expect to be intimidated when he stares down Madrid again in the second. Real needs to win by three just to force extra time. Only Arsenal happens to be walking into the Bernabéu with one of the tightest defenses in Europe, having conceded just six goals in 11 Champions League games.

“We’re at halftime," Arteta said after the first leg. “There is still so much to do here…History is made on nights like these."

Write to Joshua Robinson at Joshua.Robinson@wsj.com