The Reds were on the backfoot from the word go even before Osama Malik suffered a brain fade and nodded into his own net in the 18th minute.
The Spaniards stepped up the pace after the break, though as Pablo Perez and Luis Alberto scored in the 49th and 53rd minutes respectively.
Bruce Djite did pull one back for the Reds just before the hour but any hope of a comeback was dashed as Juanmi finished the game on a high for Malaga with a late brace to secure the five-goal scoreline.
It may have been the world game’s debut at Adelaide Oval but it was enough for 23,254 to arrive at the venue on Friday night in the City of Churches.
However, despite the local support, the Reds were nervy from the outset as Malaga crafted three good chances before Malik opened the scoring for them.
In a bizarre brain fade from the defender, Samu Castillejo's volley bounced in his direction and he directed the header into his own goal.
Malik was left to hit his own head in dismay but at least Adelaide didn’t drop their bundle as they held onto the 1-0 scoreline until the break, the Reds even having the temerity to almost equalise as Isaias Sanchez found the back of the net, only for his effort to be ruled offside as it deflected in off Nigel Boogaard.
However when Malaga coach Javi Garcia, in his first match in charge of the team, changed all but one member of his side at the break, the Spaniards were set to lift a gear.
And lift they did as Perez latched onto Boogaard’s clearing header four minutes after the break and smashed in a classy finish from 20 metres out.
Four minutes later, on-load Liverpool midfielder Alberto curled in a beautiful free kick before the Reds finally earned some reprieve as Djite pulled one back in the 59th minute.
But normal service soon resumed for Malaga as Juanmi poked home Perez’s pass in the 64th minute before completing his brace with another tap-in four minutes from time.