The Spaniard endured an underwhelming season in Wales after arriving for a club record £13.5m fee last summer.
Baston made 18 appearances for the Swans and scored just one goal.
مرحباً بك في منزلك
Welcome to your home
damos la bienvenida en su casa@BorjaBaston#VamosMálagacf#Vamoslionspic.twitter.com/sfPMQhPJao
— Abdullah N Al Thani (@ANAALThani) July 4, 2017
We can confirm @BorjaBaston has joined @MalagaCF_en on a season-long loan.
— Swansea City AFC (@SwansOfficial) July 4, 2017