This train was originally introduced between Indore Junction and New Delhi and was then extended to Jammu Tawi.

On 22 October 1985, it terminated at Lahore in Pakistan running as Indore–Lahore Special, but the service was withdrawn after 55 days due to controversies.

In June 2017, Malwa Express was extended up to Shri Mata Vaishno Devi Katra from Jammu Tawi.

In January 2019, Malwa Express was extended up to Dr. Ambedkar Nagar (Mhow) from Indore Junction.

After Bhopal Junction, both trains are hauled by a Itarsi based WAP-7 locomotive up to Shri Mata Vaishno Devi Katra and vice versa.