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).
If you get the train which travels in the opposite direction you will pass towns like: Torremolinos or Benalmadena, this direction of trainline finishes in the town of Fuengirola.
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 destinations like Rincon de la Victoria, Velez-Malaga, Nerja or other destinations located to the east of Malaga then you will have to take a bus from Malaga bus station.
For further information and timetables of Malaga trains, click on the following link to visit the train company's website Renfe.