Raul Albiol, Cristiano Ronaldo, Mesut Ozil, Karim Benzema, Luka Modric and Angel di Maria all scored for Madrid.
Malaga finished the game with only nine men as Madrid ran rampant, with Ronaldo netting his 200th goal for the club.
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Summer 2016 is set to be a very exciting time for football fans, as this is when the long awaited Euro 2016 tournament kicks off.
Since Guus Hiddink arrived at the helm, Chelsea have improved considerably after a tricky start to the campaign.