Higuain and Ronaldo both netted in the first half to put Madrid in control and the Portugal international, who also scored a brace against Depor, added a third from the penalty spot just after the break.
Malaga pulled a goal back when Kris Stadsgaard slotted in from a corner, but Madrid ensured there would be no upset as Higuain scored again in the 65th minute, the Argentinian’s seventh goal in four meetings against the Andalusian side.
The victory puts Madrid a point clear of Barcelona and Valencia, although they can be replaced by Villarreal if the Yellow Submarine beat Hercules on Monday night.
For Malaga, who have now lost 14 of their 19 home meetings with Madrid since 1994 and drawn the other five, the result leaves them still searching for their first points at La Rosaleda having previously lost to Valencia, Sevilla and Villarreal.
Although they have a huge Champions League clash with AC Milan on Tuesday, Madrid showed no sign of having their minds elsewhere as they quickly set about taking control of the match.
Higuain and Sami Khedira had both struck the woodwork with efforts from outside the box before the former put Madrid ahead on the half-hour mark.
Ronaldo’s cross to the far post was inch-perfect as it just cleared Malaga centre-back Weligton before being superbly volleyed home from a tight angle by Higuain.
Malaga briefly threatened an equaliser when Jose Salomon Rondon’s cross took a deflection, but Iker Casillas was in the right place to save.
Madrid doubled their lead on the stroke of half-time when Ronaldo slotted home from 12 yards out following good work by Mesut Ozil.
Those same two players were then involved five minutes after half-time as Madrid stretched their lead to 3-0.
Ozil was clumsily brought down by Edu Ramos just inside the box the box to concede a penalty and Ronaldo made no mistake from the spot despite Malaga goalkeeper Rodrigo Galatto guessing the right way.
Malaga ensured it was not all one-way traffic when they made it 3-1 in the 55th minute, Stadsgaard slotting home at the far post after Albert Luque’s corner had flicked off the head of Higuain, but that was a rare moment of joy for Jesualdo Ferreira’s team, who found themselves 4-1 down 10 minutes later.
Ronaldo was again involved as he powered his way towards the area before sliding the ball outside to the unmarked Higuain, who drilled a low shot into the far corner.
Madrid could have added further goals in the closing stages with Karim Benzema (twice), Ronaldo and Pedro Leon all going close as Mourinho’s men warmed up for the visit of Milan with a comprehensive triumph.