The Spanish outfit make the trip to Belgium unbeaten in their nine competitive matches so far this campaign, a record that includes six victories and only two goals conceded.
On Saturday they thumped Real Betis 4-0 in La Liga, leaving them third in the standings, while in their opening Champions League Group C match - their first ever in the competition - Manuel Pellegrini's men downed Zenit St Petersburg 3-0.
Malaga are understandably in buoyant mood heading to Brussels, but Weligton insists they are not underestimating the threat posed by Anderlecht, who, while considered outsiders to make it through the group, have a long European pedigree and held AC Milan 0-0 away in their opening match.
"We aren't favourites," said Weligton. "We are going there with this mentality of humility and of hard work.
"We can win at any ground, but we know that it's not going to be an easy game."
Weligton's team-mate Eliseu Pereira knows what a win at the Constant Vanden Stock Stadium could do for Malaga's hopes of getting through to the knock-out stages.
He said in AS: "We need to win. Winning would be a very important step forward in the group. But we need to take care, Anderlecht are an experienced and strong team."
Like Malaga, Anderlecht have also enjoyed an impressive start to the season and have only lost once in 15 competitive matches.
Anderlecht's goalless draw at the San Siro also proved they are not just making the numbers up in Group C, but they will need to improve on their home form in this competition if they are to pick up a three-point haul on Wednesday.
Anderlecht have not won a Champions League group match on their own patch in almost a decade, with their last last nine games resulting in seven defeats and two draws.
Manager John van den Brom is optimistic of ending that poor run on Wednesday, but knows Malaga need to be treated with caution.
"I see some opportunities for tomorrow's [Wednesday's] game and have confidence in a good outcome." he said, before adding of their opponents: "I have great respect for Malaga. They are a difficult team to play. The team is very well organised, they have experienced defenders, a midfield with good players and an attack that can make a difference."