It was Malaga who did much of the early pressing, with their hosts unable to keep hold of the ball. Eliseu showed a sign of things to come with a 30-yard effort that went just wide on 15 minutes.
Proto was finally beaten just before half-time, with Eliseu firing in a superb volley after a corner was half-cleared.
It was two and game over after 56 minutes when Joaquin buried a penalty after Nacho Monreal was brought down by Cheikhou Kouyate.
Malaga continued to dominate and Eliseu scored again in the 62nd minute, this time chipping over the advancing Proto.
Despite a few more chances going Malaga's way the score stayed 3-0, with the visitors yet to concede in 180 minutes of football.