Cristiano Ronaldo inspired Real Madrid to a club-record 16th consecutive victory in all competitions.
The Portugal forward crossed for Karim Benzema to put Carlo Ancelotti’s team ahead with a prodded finish at the near post.
Ronaldo then flicked a header on for Gareth Bale to seal the victory with a firm finish on the break.
Real’s Isco was sent off for a second booking before Roque Santa Cruz headed in a late consolation goal.
The victory sees Ancelotti better the 15-match sequences achieved by Jose Mourinho in 2011 and Miguel Munoz in 1961.
Ronaldo, 29, has played an integral role in Real’s recent run and he took his tally of assists to eight for the season to help end Malaga’s unbeaten home record.
Real have reacted “with surprise” to suggestions made by Uefa president Michel Platini that Ronaldo does not deserve to retain the Ballon d’Or.
Platini has said the honour should go to a member of Germany’s World Cup winning squad and Ronaldo played as if to prove a point.
Only a fine performance by Carlos Kameni in the Malaga goal prevented Ronaldo from having more assists and goal to show for his efforts.
