The game was barely three minutes old at La Rosaleda on Tuesday night when the Spain Under-21 international bent a wonderful shot in off the inside of the post and the hosts were in dreamland when Javier Saviola slid home a second 10 minutes later.
Zenit then missed a host of opportunities to get back into the game, with Russia pair Roman Shirokov and Alexander Kerzhakov the main culprits, and their miserable evening was rounded off when Isco thumped in a third from outside the area with 14 minutes remaining.
Hulk was making his Champions League debut for the Russians after completing his £32m move from Porto two weeks ago, but it was Malaga's strikeforce that started on fire as they score twice within the opening 13 minutes.
Firstly Isco produced a dazzling piece of skill as he received Eliseu's pass on the left side of the area and cut inside before curling a beautiful effort in off the inside of the post.
Hulk nearly responded immediately with a thunderous effort of his own that cannoned back off the underside of the bar, but the hosts continued to overrun their opponents with their intelligent movement and they doubled their advantage when Francisco Portillo released Jesus Gamez and his cross was turned in by Saviola.
The Argentinian could even have extended Malaga's lead as he sent a snap shot just wide from another Gamez cross before Vyacheslav Malafeev made a brave stop to deny the former Barcelona striker.
However as the half progressed, the Russian champions grew into the game and should have reduced the arrears on a number of occasions before half-time.
Willy Caballero did well to divert the ball away from Victor Fayzulin as he burst into the area before the keeper produced two wonderful saves to firstly hold Shirokov's header before clawing away a dragged left-footed effort from Kerzhakov at his near post.
Both men came close again either side of half-time as another Shirokov header flashed inches past the post whilst Kerzhakov fired into the side netting when clean through on Caballero.
Malaga, though, remained a threat on the break and should have made sure of all three points when Eliseu was released through on goal, but he shot straight at Malafeev and Joaquin pulled the rebound wide.
Caballero was then called on to produce his heroics once more as he denied Kerzhakov a certain goal with a diving save at his feet.
But any tension amongst the home fans was extinguished when Isco produced another moment of staggering quality as he received Joaquin's pass 20 yards from goal and flashed a right-footed shot into Malafeev's top left-hand corner.