Ruud van Nistelrooy, the former Manchester United and Real Madrid striker who joined the ambitious Qatar-owned club in the close-season, had Malaga's best chance early in the first half but was denied by goalkeeper Roberto.
The south-coast side have 10 points from five matches, level with Real Madrid and Valencia and one behind champions Barcelona, Levante and Sevilla.
Promoted Betis, the surprise early pace-setters, can stretch their lead at the top to four points when they play at Getafe on Monday.
Unbeaten Levante, who stunned Real Madrid 1-0 at their Estadi Ciutat de Valencia earlier this month, won 3-1 earlier on Sunday at home to Espanyol, who had two players sent off in the second half.
Real Mallorca fought back to beat visiting Real Sociedad 2-1, promoted Granada drew 1-1 with Osasuna and Sporting Gijon drew 0-0 at home to Racing Santander.
Lionel Messi and Cristiano Ronaldo netted trebles as Messi's Barcelona and Ronaldo's Real Madrid returned to winning ways in style on Saturday.
Real had a scare at their Bernabeu stadium when city neighbours Rayo Vallecano took a shock lead with a goal timed by local television at 12 seconds.
However, Ronaldo's hat-trick, which included two penalties, and strikes from Gonzalo Higuain, substitute Karim Benzema and teenage defender Raphael Varane gave Jose Mourinho's side a resounding 6-2 victory.
Barca then thrashed Atletico Madrid 5-0 at the Nou Camp, with World Player of the Year Messi's typically brilliant treble coming after David Villa had opened the scoring and Atletico defender Joao Miranda had diverted the ball into his own net.
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