The hosts took a commanding lead in the first half thanks to a frenetic nine minutes in which they found the net three times, through Carlos Vela, Alberto de la Bella and Antoine Griezmann.
Pedro Morales pulled one back for Malaga before the break, but any hope of a comeback was then vanquished by a goal by Inigo Martinez shortly after the re-start.
Roque Santa Cruz scored a second consolation goal with 20 minutes remaining, but a home victory was never in doubt.
The two teams were separated by a point going into the match, but the victory means Real Sociedad are ever closer to qualifying for the Champions League for the first time in 10 years.
Malaga's best hopes of getting back into the competition next year - if their ban from European football is lifted - may be to lift the trophy itself at Wembley.
Although Malaga coach Manuel Pellegrini had promised his team would be fully committed to this game and not distracted by their Champions league quarter-final second leg with Borussia Dortmund on Tuesday, his team selection told a different story.
The Chilean coach made eight changes from the side that held the Germans to a goalless draw at La Rosaleda on Wednesday and the difference in quality was clear to see.
Goalkeeper Carlos Kameni nearly got Malaga into trouble early on when he kicked the ball straight at Real Sociedad striker Imanol Agirretxe after receiving a back pass, but the chance came to nothing.
Griezmann struck the bar on 20 minutes with Sociedad's first shot on goal, a warning sign for the visitors.
The hosts won a corner after Griezmann's effort was cleared. Markel Bergara's far-post header forced a save from Kameni, but the ball bounced up towards Vela, who volleyed in from four yards out to score his 12th goal of the season.
Philippe Montanier's side continued to pressure their opponents immediately and they doubled their lead three minutes later. The ball fell to De la Bella thirty yards out on the left hand side of the area and the left-back hit a deadly low shot which nestled in the bottom corner.
Not content with a two-goal lead, Sociedad pushed for a third and got it when Agirretxe launched a cross-field ball from his own half which Griezmann brought down with his chest before racing towards goal and slotting past Kameni.
Pedro Morales, who marked his full debut for Malaga last weekend against Rayo Vallecano with a goal and two assists, gave his side a lift with a goal on the stroke of half-time.
The midfielder hit a poor clearance on the volley straight at Claudio Bravo, but the shot was too powerful for the Chilean goalkeeper and slipped through his hands and into the goal.
Centre-back Inigo Martinez extended the Basque side's lead five minutes into the second half, heading in a corner from Ruben Pardo.
Vela had a chance to further embarrass Malaga, but saw his deflected shot come off a post and in the end Santa Cruz made the scoreline more respectable when he arrived at the far post to get on the end of a looping cross from Antunes and head into the bottom corner.