They kept up their impressive record of scoring in every game at the Estadio do Dragao this season thanks to Joao Moutinho's winner.
The highly-rated midfield man bagged the only goal of the game just before the hour mark with a clinical close-range finish as the Spanish side suffered their first defeat in the competition this campaign.
Manuel Pellegrini's men will be hopeful of turning things around at home, where they beat both AC Milan and Zenit St Petersburg in the group stages.
Two-time former European champions Porto will also be optimistic about their chances of going through to the quarter-finals, although they would have preferred a bigger advantage for the trip to Andalusia.
In a clash of the teams with the meanest defences in their respective countries, the Portuguese giants were limited to just a couple of chances in a game of cat and mouse.
Porto made an energetic start to the game and Russian forward Marat Izmailov warmed the hands of Willy Caballero with an early low right-foot drive from the edge of the area.
The hosts were inches from breaking the deadlock soon after as Moutinho's outswinging corner was met by the towering Fernando at the near post but his header flashed past the far post.
The Primera Liga side were being stretched by the hosts as the first half drew to a close but they absorbed the pressure despite Izmailov's fizzing late effort.
Vitor Pereira's side started the second half much the same as the first and should have taken the lead when Izmailov got in front of Antunes but could only direct the ball inches wide of the far post with Caballero beaten.
However, they eventually went ahead after 56 minutes thanks to a clinical side-footed first-time finish from Moutinho. The Portugal international broke the offside trap to meet Fernando's wonderful defence-splitting pass.
Substitute James Rodriguez then saw his left-foot curler just creep past the far post in the final chance of the clash. The tie is now finely poised for the second leg at La Rosaleda on 13 March.
|FC Porto||Team Statistics||Málaga|
|0||1st Half Goals||0|
|5||Shots on Target||0|
|7||Shots off Target||1|
|65.7||1st Half Poss.||34.3|
|61.3||2nd Half Poss.||38.7|