Manuel Pellgrini's side suffered a remarkable collapse after Daniel Parejo netted the opener 25 minutes in.
Roberto Soldado then added a brace, including one from the spot.
And it went from bad to worse as Sergio Canales tucked in a fourth straight from the kick off.
Julio Baptista curled in a free kick on the stroke of half time to give Malaga a slither of hope, but Ever Banega curled in a delicious shot from distance in the second half to finish off the scoring for Valencia.
Granada and Real Valladolid played to a 1-1 draw on Saturday at Estadio Los Cármenes.
Real Valladolid had captured the lead in the 58th minute when Patrick Ebert scored.
- Sports & Recreation
- Sergio Canales
- Daniel Parejo
- Real Valladolid
- Roberto Soldado
- Julio Baptista