Easter week is a big event in Spain. It starts on the Sunday before Easter and ends on Easter Sunday.
In the big cities you will see several processions a day, and that is really something to watch! The holy scenes weigh many hundreds of kilos and are carried by several dozen men. Each fraternity is accompanied by music and a multitude of penitents in pointed hats, many of whom go barefoot.
Check the tourist centre in Malaga (or on the web) for a detailed schedule of routes and times.