The Argentina international, in his second year at the Bernabeu, has been a victim of squad rotation this season as coach Jose Mourinho attempts to find the right balance to end Barcelona's dominance in La Liga.
But Di Maria insists everyone, whether they are in the starting line-up or not, is pulling in the right direction.
"The team is very strong and it shows on the field that it is more united," he told Real Madrid TV.
"It does not matter if you score a goal or someone else does. It is something we all know. We can accomplish anything this year.
"Last year we were very good but this year we have grown so much more as a squad.
"The players who have come in have adapted well and quickly."
Di Maria has been impressed with the way Mourinho has maintained morale in a bloated squad.
"He is the same to everyone: to those who play and to those who don't," he added.
"He is aware of the players who are not playing and whose morale is low because they want to play.
"When I was not playing he was always there for me. When I went on against Real Betis he said: 'do what you know' - those are the things that give you strength and encouragement.
"Mourinho has taught me a lot. He wanted me in the team and I have to thank him that I'm here."
Although Madrid go in to the Malaga game in fine form - they have won their last five games in all competitions and hammered Lyon 4-0 in the Champions League in midweek - they are likely to be tested by the big-spending Andalusians.
The sixth-placed hosts, who snapped up the likes of Santi Cazorla and Joaquin in a radical summer overhaul, started brightly but suffered a 3-0 hammering at surprise high-fliers Levante last time out.
Despite the positivity surrounding La Rosaleda, Cazorla knows they will have to hit new highs if they are to take anything away from the Bernabeu against a Madrid side in third, one point behind Barca and Levante.
"It's an important game but it's just three points," he said in the AS newspaper.
"We want to win, we want to bounce back and to do this we will have to play the perfect match.
"Being able to compete with Real Madrid is important for the team."
Spain playmaker Cazorla is adamant Malaga will stick to their usual gameplan.
"Our game will not change," he said. "But against Madrid it is obvious that you cannot make any mistakes because you will pay for them dearly."