The duo have history prior to their recent reunion in the Premier League, though, having both managed sides in the Spanish top flight at the same time.
However, as far as their head-to-head record goes, there is a clear victor. Pellegrini has beaten his Portuguese counterpart only once, while Mourinho can boast seven victories.
Despite the fact that Pellegrini's visitors, who sat in fourth place and had genuine aspirations of qualifying for the following campaign's Champions League, were making an impression in La Liga, Madrid topped the standings.
What's more, they had won their previous 11 games in a row and held a seven-point lead over rivals Barcelona.
The home side went for the jugular after the restart, but Ronaldo was twice denied by Malaga goalkeeper Willy Caballero, while both Benzema and Jose Callejon failed to hit the target when well placed.
Nevertheless, it seemed that Madrid's inability to double their advantage was going to go unpunished - that was until Santi Cazorla lined up a shot at a set-piece situation 25 yards from goal.
The diminutive playmaker sent his effort towards the side of the goal that had been covered by Madrid keeper Iker Casillas, but such was the pace and accuracy produced by Malaga's number 12, the ball flew into the top corner of the net, stunning the home faithful into silence.
MADRID: Casillas; Marcelo, Ramos, Pepe, Diarra; Khedira, Alonso; Kaka (Callejon), Ozil (Granero), Ronaldo; Benzema (Higuain)
MALAGA: Caballero; Monreal, Mathijsen, Demichelis, Welington; Sanchez, Camacho; Isco (Eliseu), Cazorla, Joaquin (Fernandez); Rondon (Van Nistelrooy)