Spanish international Villa continued his fabulous summer at the European championships scoring twice in the final 20 minutes to make it four goals in as many games as Valencia replaced Villarreal at the top courtesy of their superior goal difference.
"On one hand I am happy with the result but on the other hand we need to improve and create more chances in front of goal," said hard-to-please Valencia coach Unai Emery. "We are top but it is a bit irrelevant as there are so many games to go."
Malaga meanwhile have yet to win or score a goal on their return to the Spanish top-flight but Emery offered some kind words to the beaten opponents.
"Malaga have a great coach (Antonio Tapia) and with time and hard work the team will progress," added Emery.
Champions Real Madrid lie third a point behind Valencia while Barcelona are down in sixth three points adrift.
Almeria could have moved level on ten points with Villarreal and Valencia but spurned the opportunity losing 2-0 against Valladolid on Thursday.
Veteran Fernando Morientes led the line for Valencia with Villa tucked in behind.
On the quarter hour mark Spanish international Villa should have scored but missed a chance he usually buries on auto-pilot.
A free-kick from Manuel Fernandes, back in favour after being loaned out to Everton last season, hit the post and Villa was on hand but uncharacteristically blazed over the crossbar.
Malaga had not scored in their first three matches and Brazilian goalkeeper Renan Brito was a virtual bystander.
Brito has replaced German custodian Timo Hildebrand - first choice under Ronald Koeman last season - and German national coach Joachim Loew has advised Hildebrand to find a new club.
After the interval Malaga upped the ante and Naba Baha should missed a sitter on 52 minutes with his shot headed off the goal-line by the alert Raul Albiol.
But some terrible Malaga defending helped Valencia make the breakthrough twenty minutes from time and Villa gobbled up the chance.
Salva Ballesta was sent off for Malaga late on for a late tackle as frustration boiled over and a counter attack saw Villa score in the dying seconds as the hosts poured forward in search of an equaliser.
Real Mallorca registered their first win of the season with a 2-0 triumph over newcomers Numancia on Thursday.
Jose Jurado, a summer signing from Atletico Madrid, scored his first league goal for his new employer and Cameroon forward Pierre Webo added a second.
In Thursday's other game Recreativo Huelva and Athletic Bilbao shared the points in a 1-1 draw.