Manuel Pellegrini's side were dumped out of the Champions League at the quarter-final stage on Tuesday thanks to Borussia Dortmund's injury-time heroics, and the fall-out was unpleasant.
The club's president complained that their exit was based on racism and, added to the death of Pellegrini's father, there has been little to cheer at La Rosaleda.
With the club banned from Europe next season they could have been forgiven for throwing the towel in all together this season, but thanks to Baptista's goal they are now up to fifth.
They could have been forgiven for feeling sorry for themselves considering how their week has panned out, although they hid it well if they were as they dominated throughout.
Baptista whistled in a second-minute effort which was tipped over by Andres Fernandez, before Osasuna settled and went close with an Alvaro Cejudo header.
Ruben Gonzalez then tried his luck for the visitors, before Javier Saviola twice had efforts for Malaga, with neither doing much damage.
Joaquin then drilled wide as the pressure continued and Saviola was unfortunate not to make it count when his 12-yard drive clipped the post.
Back at the other end Cejudo was brilliantly denied by Willy Caballero and, although the pace slowed after the break, it was Malaga who were on the front foot.
Baptista again forced a save out of Fernandez and Joaquin would do the same but, when it appeared as though there would be no breakthrough, Baptista finished from close range after Osasuna failed to clear their lines.