Villa face the La Liga outfit in their final pre-season friendly before the start of the Premier League, and Lambert has revealed that he is excited for the test that Malaga will pose his players.
The 44-year-old told the Birmingham Mail: "It's another level that we've got to step up to but we're looking forward to it.
"They were Champions League quarter-finalists last year so it will be really tough for us. But we'll see how we get on.
"We'll be at our home stadium, the pitch will be lovely, the crowd will be coming right behind us and it will be a really good game and good atmosphere for people to come to enjoy."
Lambert's side travel to Arsenal next week for their opening game of the season.