Well there are lots of trains that take 5 hours and some even a bit less - all involve going to Madrid-Atocha station and changing - new-high trains - I used this link to the German Railways online timetable for all European trains for that info - I provide this link (http://www.budgeteuropetravel.com/#timetable) because it also gives you several valuable tips for fully using the Wunder German Railways schedules - for tickets go to www.renfe.com - Spanish Railways site - and you can at times get deep discounts if you book far enough in advance and are sure of your train times as I believe the discounted and limited in number tickets are neither changeable nor refundable and must be booked far in advence as their limited numbers often sell out weeks early - you can always buy IME on the spot full-fare tickets but you can often save a bundle by pre-booking way way in advance.

http://www.budgeteuropetravel.com/#timetable

http://www.vueling.com/EN/?cadw=GLO&SBR=SBR4026&gclid=CNepurjmgbUCFQVgMgodmEEASw

Have you tried Vueling Airlines, one of the cheaper airlines serving Spain - how much luggage do you have?

You may want to check on buses - Spain has an extensive inter-city bus system with several competing companies - not sure it will be faster but may be much cheaper.

Ryanair non- stop to Málaga Just pay the 14 Euros to check your 15 kilo bag. Then one free carry-on with size and weight restrictions..

Or

valencia- Sevilla High speed AVE train.. 3hours 50 minutes.( no changes in Madrid)

Then Sevilla- Málaga fastest train is 1h55m on the AVANT trains.