The Portuguese opened the scoring on the brink of half-time, but Milan Jovanovic equalised soon after the re-start. Duda restored his side's advantage moment later, but Dieumerci Mbokani salvaged a point at the death.
The hosts began the brighter of the two sides and took just five minutes to fire off the first effort of the encounter, Manuel Iturra being picked out by Eliseu on the edge of the box only for the midfielder to drill just wide of the post.
Malaga continued to pressure the Anderlecht goal and should have found themselves ahead in the 10th minute. Diego Buonanotte robbed Bruno of possession around the 18-yard box, but saw his smart effort tipped round the post by Silvio Proto.
The Belgian outfit could only partially clear the ensuing corner, which eventually fell to loanee Oguchi Onyewu. He did well on the right to pick out a low cross which found Weligton, but the Brazilian somehow fired over from six yards out.
Los Boquerones were dominant in possession and looked to turn that into the first goal of the night. Duda picked out Weligton unmarked on the right of the 18-yard box from a free-kick. The defender struck a volley from the edge of the area, but it sailed over.
Meanwhile, at the other end, Anderlecht came close to netting the opener against the run of play. Mbokani was picked out in the box and leapt highest to meet Jovanovic’s cross, only to be denied by Carlos Kameni, who did well to claw out the Congolese forward’s header.
The Cameroonian was on hand to deny the visitors again after Massimo Bruno was picked out by Behrang Safari. However, Kameni managed to turn the latter’s volley away for a corner.
With 10 minutes of the half remaining, Buonanotte did well to weave into the box and get his shot away, only to be denied by the legs of Proto. The Belgian side then thought they had taken the lead through Safari, only to have the goal wrongly disallowed for offside.
Following the decision, the hosts then opened the scoring through Duda. Seba did well to hold the ball in the Anderlecht 18-yard box. He then found the 32-year-old unmarked on the edge of the area before firing an unstoppable left-footed drive past Proto.
However, Anderlecht weren't behind for long and five minutes into the second half Mbokani managed to force Onyewu to play the ball into the path of Jovanovic, who delicately lofted the ball over Kameni to level up the encounter.
Jovanovic came close to firing the Belgian side in front moments later. The former Liverpool ace was freed down the left by Mbokani but the Serb saw Kameni fingertip his effort onto the post before the hosts could clear.
At the other end, the hosts had a chance of their own to take the initiative. Eliseu did well to pick out Roque Santa Cruz unmarked in the box and the striker attempted to cushion his effort into the bottom corner, but was denied by the foot of the near post.
But it wasn't long before Malaga were in front again. Buonanotte picked out Duda with a perfect cross-field pass, and the midfielder brought the ball down well before lashing past Proto into the bottom corner.
The Malaga captain for the night was on the hunt for a hat-trick, but saw his free kick well saved by Proto after Buonanotte had been fouled by Lucas Biglia. The visitors, however, wouldn't accept defeat and Jovanovic did well again in the box, but his effort was comfortably met by Kameni who palmed away from danger.
Mbokani netted a last-gasp equaliser to set up a tense finish, but Malaga held on to secure the point, despite the Anderlecht front-man being denied by the feet of Kameni in added time.