In the early 2000s, Málaga were a club rich in young and top quality players, and boasted a more modern and developed stadium.

They made a solitary appearance in the UEFA Intertoto Cup in 2002, clinching their only official trophy by beating Gent, Willem II and Villarreal.

Málaga's run in the UEFA Cup was something of an overachievement, and ended in a defeat on penalties in the quarter-finals to Boavista, after beating Željezničar Sarajevo (who had been eliminated from the Champions League by Newcastle United), Amica Wronki, Leeds United (after a 2–1 win at Elland Road, courtesy of two Julio Dely Valdés goals) and AEK Athens.

Juande Ramos took over as coach and oversaw a 5–1 home thrashing of Barcelona, the club's biggest victory against the Catalan giants, with a hat-trick from loanee Salva Ballesta, who would end up missing out on the Pichichi Trophy by just two goals.

Due to the club's economic problems, then-president Fernando Sanz found investments at Doha in Qatar to launch an ambitious project, entering in conversations with sheikh Abdullah ben Nasser Al Thani.

[2] On 11 June 2010, after a week of negotiations, Al Thani became the entity's new owner,[3] being named president on 28 July[2] in the members' meeting.

[6] A record five consecutive La Liga wins,[7] alongside a draw against Athletic Bilbao at San Mamés at the start of January 2011, helped the team maintain momentum in the league,[8] finishing the 2010–11 season in 11th place.

[13] Other less prominent players like Isco, former Spanish international midfielder Joaquín and left back Nacho Monreal, were key in the successful season which followed for the Málaga.

In the round of 16, the team drew Portuguese champions Porto, losing the first away game 1–0 while winning at home 2–0, advancing to the quarter-finals.

In a highly anticipated tie against German champions Borussia Dortmund, the home game ended 0–0, leaving Malagauistas with a reasonable chance to advance on the back of a draw in the away fixture.

[15] Immediately after the elimination, club president Abdullah ben Nasser Al Thani announced a formal complaint would be filed with UEFA and FIFA.

However, fate took a turn for the worse and Málaga conceded a goal to Levante's Emmanuel Boateng in stoppage time to see the final score at 0–1.

This loss meant that Málaga would be relegated to the Segunda División, ending a run of ten consecutive seasons in the top flight.

[21] In early 2020, reports emerged that club owner Sheikh Abdullah Al Thani and his family who owe Málaga €7.3m in loans and credit lines, were buying out shares from smaller shareholders to be directed to their personal expenses and business interests, yet up to February 2022 no evidence has proven any misconduct to allow the courts to rule that a criminal case is justified.

[22] In August 2020, the court appointed administrator issued a statement that he would lay off the entire first-team squad to save the club from oblivion.

In this first age of the tournament, the club won this competition themselves on three occasions, beating Real Madrid, Red Star Belgrade and Derby County in the finals.

Since then, the club has won the competition on seven occasions, beating Newcastle United, Real Betis, Parma, Peñarol, Everton, Lekhwiya and Sampdoria in the finals.