The Portugal international was the star as Los Blancos secured a valuable win over Manuel Pellegrini's expensively-assembled side, who attempted to stage a second-half fightback
Cristiano Ronaldo netted a hat-trick while Gonzalo Higuain was also on the scoresheet as the capital giants blew their hosts away with a blistering opening 45 minutes.
Both sides had early shouts for penalties for fouls on first Ronaldo and then Malaga's Joaquin. Neither prompted a reaction from the referee Antonio Miguel Mateu Lahoz, however, despite the protests of players from both sides.
It was not long before Madrid took the lead. Higuain opened the scoring for the visitors with a cool finish from a tight angle after being played in by the impressive Angel Di Maria.
Los Blancos began to exert more and more pressure on the Malaga back-line and added a second goal after 24 minutes. Di Maria was the provider once more, this time for Ronaldo. After being found down the right-hand side, the Argentine cut back on to his favoured left foot before whipping a tantalising ball into the area which left the Portuguese with the simplest of finishes from five yards out.
Ronaldo made it 3-0 around the half-hour mark, dancing past a couple of Malaga players before dispatching a fine low strike from the edge of the area that gave Ruben in the Malaga goal no chance.
Clearly determined not to be outdone by the free-scoring Higuain of recent weeks, Ronaldo soon made it 4-0, completing his hat-trick in thew process. His third was the pick of the bunch, a wonderful back-heeled volley that a bewildered Ruben in the Malaga goal could do nothing to stop.
Casillas then came to the rescue for Madrid just before half-time, rushing out from his goal to make a terrific tackle at the feet of the on-rushing Joaquin.
Malaga came within inches of pulling a goal back just minutes into the second half when Joaquin struck a fabulous free-kick onto Casillas' crossbar.
Casillas then had to pull off another world-class save, this time from Eliseu, before Rondon flicked an effort over the Spanish international as he came racing out of goal only to see his shot land agonisingly the wrong side of the post.
Malaga continued to push forward in search of goals, with Sebastian Fernandez hitting the woodwork with a fine half-volley that had Casillas well-beaten. Despite the constant pressure from the Andalusians, the scoreline remained the same, with Madrid running out 4-0 victors.
Both teams will be back in action in midweek on Wednesday as Malaga visit Rayo Vallecano and Real Madrid play host to Villarreal.