The club can trace its history back to 1904 with the formation of Málaga Foot-Ball Club. It was nothing more than a society intended to promote football, a new sport in the city, carried from the United Kingdom. Its first rivals were small teams formed by crew of foreign ships arriving to local harbour. In 1907, further attempts of popularising football were performed by Málaga FC.
1912 saw the arrival of a rival club FC Malagueño, and the establishment of a great rivalry with Málaga FC, which had merged with other minor clubs like Málaga Racing. In 1927, Málaga FC became Real Málaga FC after they were granted royal patronage by Alfonso XIII.
During the 1929–30 season both of Real Málaga FC and FC Malagueño clubs became founder members of the Tercera División. In late 1930, Real Málaga FC, were reformed as Málaga Sport Club.