Arzo came through the ranks of hometown club Villarreal CF, debuting for the first team on March 23, 2003 against Real Sociedad, without however being able to consolidate himself in the starting eleven.
In the 2006-07 season, he was loaned to La Liga newcomers Recreativo de Huelva alongside teammates Javier López Vallejo and Santi Cazorla, moving on loan again for the following season, this time to another promotee, Real Murcia.
Immediately after returning from his Murcia loan, Arzo was deemed surplus to requirements by Villarreal boss Manuel Pellegrini, rejoining, this time definitely, Recreativo de Huelva.