The Belgium international took his haul to seven goals in five games as Villa completed their pre-season schedule.
Benteke opened the scoring for Villa in the 12th minute before smashing home a penalty on the half hour after Ron Vlaar's first-half header had put Villa two up.
The La Liga side pulled back two goals with Jores Okore conceding an own goal and Sergi Darder adding a second for his side.
Villa begin their Premier League campaign at Arsenal next weekend and manager Paul Lambert will be more than happy with the form of his star striker.
Benteke showed strength and composure to hold off a challenge before evading Malaga keeper Willy Caballero and rolling the ball into the net from seven yards to give Villa an early lead.
Villa soon doubled their lead when Vlaar timed his run perfectly to meet Aleksandar Tonev's corner and beat Caballero from close range.
The Villa skipper then helped keep Malaga at bay when he forced Roque Santa Cruz to miscue his shot from a promising position.
Benteke grabbed his second after he picked himself off the turf, following Tonev's through-ball and Marcos Angeleri's trip, and fired home from the spot, sending the keeper the wrong way.
The visitors were given a lifeline when Okore diverted the ball into his own net from Bartlomiej Pawlowski's cross.
Malaga, who begin their La Liga campaign at Valencia next Saturday, improved further in the second period and Darder claimed a second goal when his effort was deflected off Karim El Ahmadi.