Morales has been part of a team who have lost just once in their last six La Liga fixtures, and the Chilean is confident that their impressive run will continue in the Spanish capital on Saturday.
"There are things we can improve on in every game. If we plan well for the match against Madrid and are intelligent I think we could do something important in the Bernabeu," he told reporters at a press conference.
"We are hopeful of getting a positive result. They have good players and a good coach, but we also have our own team, our own players, and are doing well in La Liga.
"We had a good start to the season and only small details have seen some points escape us that could have been ours. That's an aspect in which we have to do better."
Malaga currently sit 10th in La Liga on nine points, while Madrid are third with 19.