Zinedine Zidane's side let a three-goal lead from last week's quarter-final first leg at Juventus slip in the return game at the Bernabeu, prevailing 4-3 on aggregate after Cristiano Ronaldo's penalty in injury time to make it into the last four.
In the Primera Division, Los Blancos dropped down to fourth last weekend after a 1-1 draw at home to Atletico in the Madrid derby, but a win at Malaga on Sunday will see them return to third if Valencia fail to beat Barcelona at Camp Nou on Saturday.
Madrid are 15 points behind leaders Barca with seven rounds remaining and here, Goal takes a look at everything you need to know ahead of their trip to La Rosaleda this weekend...
Real Madrid injuries
Nacho is injured for the first time in his career after picking up a muscle problem the recent win at Las Palmas, but Real should have an otherwise fully fit squad.
Real Madrid suspensions
Captain Sergio Ramos was suspended for the visit of Juventus on Wednesday, but Real do not have any players banned this weekend.
Real Madrid potential starting line-up
Karim Benzema looks set to return in attack for Real Madrid on Sunday after playing no part in the debacle versus Juventus on Wednesday.
Gareth Bale could also get another chance after he was withdrawn at half-time in the Champions League clash.
Meanwhile, Ramos will return in defence following his suspension in midweek.
Malaga team news
Malaga have just 17 points from their 31 games and are rock botton of La Liga with seven rounds remaining.
The Andalusians had looked like producing something of a fight after picking up four points from their previous two games, but lost 3-2 to fellow strugglers Deportivo La Coruna last time out and could be confirmed as relegated this weekend.
Juanpi and Adalberto Penaranda are available again, but Diego Rolan and Ignasi Miquel are doubtful. Luis Hernandez misses out through suspension.
TV channel & kick-off time
Malaga versus Real Madrid kicks off at 20:45 local time on Sunday and will be shown live in the United Kingdom (UK) on Sky Sports Football from 19:40 GMT.
In the United States (US), the match is live on beIN Sports and kicks off at 14:45 ET.
Best Opta match facts
Malaga have only won one of their 33 meetings versus Real Madrid in La Liga, 3-2 at La Rosaleda in December 2012. Of the other 32 games, 24 have been wins for Los Blancos.
After 31 rounds of La Liga, Real Madrid are not in the top three in the table for the first season this century.
Cristiano Ronaldo has scored 17 goals in his 17 meetings with Malaga in La Liga and eight goals in his eight league games at La Rosaleda.
Karim Benzema has scored five goals in La Liga this season, only one more than Malaga’s top scorers in this campaign (Diego Rolan and Gonzalo Castro, four).
Zinedine Zidane has never lost in his four meetings against Malaga as coach, winning three and drawing the other. Real Madrid clinched La Liga last season by winning this fixture on the last day of the campaign.