Peña was signed by the New York Yankees out of the Mexican League in 2005. He played for the Tampa Yankees in the Class-A Advanced Florida State League and Trenton Thunder of the Class-AA Eastern League that season and in 2006. He played for Trenton in 2007 and 2008, and was selected to participate in the 2008 All-Star Futures Game.

In 2009, Peña made the Yankees Opening Day roster, beating out Ángel Berroa to be the utility infielder. He made his major league debut on April 6, 2009, appearing in the game as a pinch runner. On April 9 he got a hit in his first major league at bat, off Chris Ray of the Baltimore Orioles. On April 14 against the Tampa Bay Rays, Pena started his first career game at third base, going 0 for 3 with a walk. On April 30, Peña got his first career run batted in in the bottom of the 8th inning against Justin Speier of the Los Angeles Angels of Anaheim by hitting a double down the right field line.