There are two museums dedicated to Pablo Picasso in Malaga:

The Museo Casa Natal is a museum that also hosts temporary exhibitions of other artists. It can be found at Plaza de Merced 15 and if you come in April or May, you can admire the blue avenues of flowering jacarandas.
There is currently an exhibition of the painter Maria Blanchard

The Museo Picasso Málaga is dedicated exclusively to the works of Pablo Picasso and is located at Calle San Agustín 8.
Admission is free on Sundays.