Led by former Real coach Manuel Pellegrini, the Andalusian club are looking to overturn a 3-2 deficit from last week's first leg at the Bernabeu and prevent a quarter-final meeting between Real and 2011 runners-up Barcelona.
Barca, who lost 1-0 to their great rivals in last year's final thanks to Cristiano Ronaldo's dramatic extra-time winner, take a healthy 4-0 advantage to Osasuna for their second leg on Thursday.
Malaga supporters, whose club were bought by a member of the Qatar royal family at the end of the 2009/10 season, have been out in force this week queueing for tickets for the match.
Defender Jesus Gamez said the two-goal lead the team opened up in the first half of the first leg had given the players confidence they can cause an upset.
"The cup is tough but you've got to believe," Gamez said after Saturday's 0-0 La Liga draw at home to Real's city neighbours Atletico.
"We saw the fans queuing and we know that the supporters are going to be behind us," he added. "If we managed that 0-2 lead at the Bernabeu, we can do it on Tuesday."
Valencia, who are third behind leaders Real and second-placed Barca in La Liga, are on the same side of the draw as the big two and carved out a 1-0 advantage over Sevilla in their first leg at the Mestalla last Thursday.
The side still alive after Wednesday's second leg will play Levante or second-division Alcorcon in the quarter-finals, with Alcorcon, who eliminated Real Zaragoza in the last round, leading 2-1 ahead of their game on Wednesday.
On the other side of the draw, second-division Cordoba have a 2-1 advantage over top-flight side Espanyol for Wednesday's game in Barcelona and third-tier Mirandes have a 2-0 lead when they play at Racing Santander on Tuesday.
Another Segunda B side, Albacete, held Athletic Bilbao to a 0-0 draw last week and travel to play the Basque side on Thursday.
Real Sociedad, Cup winners in 1987, beat 2003 champions Real Mallorca 2-0 at home last week with the second leg in Mallorca on Tuesday.
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