Bernd Schuster's side had taken a half-time lead at the Estadio Municipal Jose Zorrilla through Roque Santa Cruz, but strikes from Javi Guerra and Humberto Osorio turned the tables.
However, Bartlomiej Pawlowski's first goal for the club sealed a point for the Andalusians, who are yet to win away from their Estadio La Rosaleda home this term.
Valladolid started well and Willy Caballero in the visitors' goal was tested by a long-range drive from Antonio Rukavina, but Malaga got themselves ahead in the 23rd minute.
Fernando Tissone released former Bayern Munich man Santa Cruz with a perfect through ball and the Paraguay international finished neatly with his left foot.
Vitorino Antunes and Francisco Portillo went close to doubling the lead, but Malaga's advantage only stood at one at the half-time whistle.
And they were made to pay for that profligacy 10 minutes after the break as Javi Guerra rose highest to head Patrick Ebert's corner home.
German winger Ebert again was the provider for Valladolid's second in the 64th minute, another corner leading to a headed goal, this time from Osorio.
With Valladolid hoping to hold out for their second win of the campaign, they were denied by a fine strike from Pawlowski, the Pole controlling Ignacio Camacho's cross neatly, before spinning his defender and volleying a wondrous effort past Diego Marino.
