The 30-year-old negotiated a release from his contract with Benfica and passed a medical at the Costa del Sol club.
Saviola won 40 international caps with Argentina, scoring 11 goals, and after leaving River Plate for Barcelona went on to play with AS Monaco, Sevilla and Real before moving to Portugal.
Qatari-owned Malaga finished fourth in La Liga last season to qualify for the Champions League playoffs for the first time, and on Thursday were drawn in Group C with AC Milan, Zenit St Petersburg and Anderlecht.
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