Malaga were two to the good at the interval thanks to a header from Sergio Sanchez and a Vitorino Antunes free-kick.
Juanmi added a third immediately after the interval before a Roberto Torres long range effort cut the arrears.
Torres then crossed for Manu Omwu to further reduce the deficit with a header on 57 but Raoul Loe’s 64th minute second yellow card had looked to have stymied the fightback.
Valencia were held to a surprise 0-0 draw by Gimnastic de Tarragona in their Copa del Rey last 32 first leg tie at the Nou Estadi.
Lago Junior shot wide early on for the home side before David Mateos Rocha hit the bar with a free-kick.
Jonas then headed over but Valencia had Jeremy Mathieu to thank for keeping things level at 0-0 when he cleared a Lago Junior effort off the line.
The second half was a more sedate affair but the visitors finished the match with ten men after Jonas was sent off for a second yellow card.
Malaga CF 3-3 Osasuna
Real Jaen CF 2-2 RCD Espanyol
Las Palmas 1-3 UD Almeria
Gimnastic de Tarragona 0-0 Valencia
Alcorcon 0-2 Granada