The Man in Seat 61 suggests that the best route is as you've described - London to Paris by Eurostar, Paris to Barcelona by TGV, then Barcelona to Malaga by AVE.
If you want to avoid Paris, you can also go via Lyon, as per Option 2 on this page, which takes the Eurostar to Lyon, then the AVE to Barcelona, or Option 3, London->Lille by Eurostar, Lille to Nimes by TGV, then Nimes to Barcelona by AVE the following day. Either way, you'd then get the AVE from Barcelona to Malaga.
There is also an overnight train from Paris to Latour, then the local train from there to Barcelona. Again see the London-Barcelona page on Seat61