And the result could see them slip out of the Champions League places by the end of the weekend.
Manuel Pellegrini fielded an under-strength side, presumably with the club's Champions League last-16 second-leg match with Porto on Wednesday in mind, resting Isco and Joaquin.
However, his team got off to a great start when Martin Demichelis headed them into the lead after eight minutes, but Manucho equalised for the hosts shortly before half-time.
The two teams were evenly matched for the opening minutes of the game, until some poor defending by Miroslav Djukic's side lead to the visitors taking the lead.
Lucas Piazon delivered a deep cross into the box from a free-kick and Demichelis evaded defenders to rise unmarked and head the ball into the net from a few yards out.
The goal hammered Valladolid's confidence and they struggled to re-impose themselves on the game as Malaga controlled the ball with ease.
The hosts did not create their first proper chance until 34 minutes, Antonio Rukavina volleying a cross from Omar Ramos towards goal, but Willy Caballero was equal to it.
They did get an equaliser not long afterwards, Manucho heading a cross from Alvaro Rubio over a stationary Caballero to draw level on 41 minutes.
A rain-soaked pitch interrupted the flow of the ball in the second half, which impeded Malaga from creating many clear chances, and it was Valladolid who came closest to scoring.
Daniel Larsson nearly gave the hosts the lead shortly after the restart, fighting off Demichelis in the box to find himself one-on-one with Caballero, but he could only win a corner.
Later on, Manucho missed the best chance of the game, narrowly failing to get on the end of a low cross by Larsson which, had he been able to get any contact on, would surely have meant the hosts going in front.
The Angolan then missed a very similar chance, this time failing to connect with a cross from Rukavina.
The result means Valladolid temporarily moved up to 10th in La Liga, while Malaga staying in fourth depends on the results of Valencia and Real Betis later this weekend.
However, it was clear that on on Saturday evening, their priority was making it to Wednesday's game with Porto unscathed.