Coach Manuel Pellegrini and his players have propelled the Costa del Sol club to unprecedented success despite uncertainty over the commitment of their Qatari owner and cash-flow problems that prompted a ban from UEFA competition from next season.
Chilean Pellegrini has moulded a squad of experienced campaigners including Joaquin, Martin Demichelis, Jeremy Toulalan and Roque Santa Cruz into a highly efficient outfit, with promising youngsters like Isco providing a creative spark.
After beating seven-times European champions Milan 1-0 at the Rosaleda stadium on the way to topping Group C, Malaga dispatched 2004 winners Porto 2-0 in the last round on a festive night for local fans including Hollywood actor Antonio Banderas.
They are brimming with confidence ahead of the first leg with Dortmund -- who won the Champions League in 1997 -- according to former Spain winger Joaquin.
"If we are here it is because we have proved we are a great team," the 31-year-old told a news conference on Monday.
"This is the time when the great teams express themselves and we have not said the last word here at the Rosaleda," he added.
"We need to be an aggressive team, playing the way we know and taking the initiative."
Malaga's success is in large measure down to their well-drilled defence, one of the meanest in La Liga this season, and preventing Dortmund from scoring an away goal could be key to their chances of progressing after next week's return leg.
Malaga have kept nine clean sheets in their 12 European home games, including against Milan in October and the success against Porto last month.
If they reach the semi-finals, they will match the debut-season achievement of La Liga rivals Villarreal under Pellegrini in the 2005-06 season.
Known as "the engineer", the cerebral Pellegrini led an unfancied Villarreal team to the last four before they were narrowly beaten by Premier League side Arsenal.
"This is a tie lasting 180 minutes in which we have to be intelligent, dominate the match but without forgetting the return leg," Pellegrini told a news conference after Malaga's 3-1 La Liga victory at Rayo Vallecano on Saturday.
"Hopefully we will go to Dortmund with a solid advantage," added the former Real Madrid coach, who was sacked in 2010 to make way for Jose Mourinho.
Dortmund have several players battling for fitness after a hard-fought 2-1 victory at VfB Stuttgart that kept them in a distant second place in the Bundesliga on Saturday.
With only one trophy to chase for after losing the domestic battle to Bayern Munich this season, they are eager to leave their mark on Europe's elite club competition.
"That was a good preparation for Malaga because it will be equally intense in the one-on-ones," coach Juergen Klopp said of their Stuttgart win.
Defender Marcel Schmelzer, who broke his nose in the game, is doubtful but he said he was determined to play using a face mask after undergoing surgery.
"It was fixed and stitched so as not to waste time because next up is Wednesday but with a face mask," the Germany international said.
Klopp is also concerned about midfielders Sven Bender and Kevin Grosskreutz, both of whom picked up ankle injuries.
Marco Reus and Felipe Santana were nursing knocks to the ribs and head after the game but are fit to play.
"We know it will be a very tough game," said defender Lukasz Piszczek. "They may not be Barcelona but they have shown how good a team they are."
Malaga: 13-Willy Caballero; 2-Jesus Gamez, 3-Weligton, 5-Martin Demichelis, 25-Antunes; 8-Jeremy Toulalan, 16-Manuel Iturra; 7-Joaquin, 10-Julio Baptista, 22-Isco; 24-Roque Santa Cruz
Borussia Dortmund: 1-Roman Weidenfeller; 26-Lukasz Piszczek, 4-Neven Subotic, 27-Felipe Santana, 29-Marcel Schmelzer; 6-Sven Bender, 8-Ilkay Guendogan; 16-Jakub Blaszczykowski, 10-Mario Goetze, 11-Marco Reus; 9-Robert Lewandowski
Referee: Jonas Eriksson (Sweden)
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