Malaga airport has a train station attached to the main terminal building.
From this station you can catch a train into the centre of Malaga (with the last stop being in front of El Corte Ingles).
There is a shopping centre called Plaza Mayor (which is just a couple of stops away from the airport on train), which has lots of restaurants and shops like H&M, Zara, Levis, Nike… etc and even has a 20 screen cinema.
For more information on the what shops, restaurants or films are showing at the cinema you can visit their website.
For further information and timetables of Malaga trains, click on the following link to visit the train company's website Renfe.