Carlos Vela had put Sociedad in front before Javier Saviola levelled for the Andalucians.
But a strike from Xabi Prieto won the game for the visitors, leaving Malaga in fourth.
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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.