Car Rental Drop Off Locations - Is this wise?

I can't speak to Malaga - but we dropped off a car in Sevilla after picking it up in Granada and had no difficulty in either of these towns. I didn't have GPS so simply printed out the Via Michelin directions and we did fine. We picked up and dropped off at the train stations.

It is easy to get between Malaga and Granada via bus. About two hours, frequent and cheap. The bus station in Malaga is next to the train station so that is very convenient. We did that a couple of years ago.

There are normally a couple of direct trains per day between Granada and Madrid - one morning and one evening - but that may not be the case later this spring, according to available schedules (not published past June 13), which only show connecting trains.

There are more direct train choices from Cordoba to Madrid than from Malaga to Madrid. Closer to Madrid, Toledo also has a few car rental offices.

I have not driven in Spain but in many other countries of Europe, including medium-sized cities. In cities, I think the trick is to stick to the major roads as long as possible toward your destination, since there's usually better signage and more regulated traffic.

We rented a car through Hertz for a two week trip through southern Spain last May. We picked the car up in Madrid (Barajas), drove straight through to Granada (3 nights). From Granada we took the old Calpihate Road (river road) to Cordoba (1 night). From Cordoba, we took the autovia to Seville (2 nights). From Seville, drove through the Pueblos Blancos for two days, staying 2 nights in Ronda. From Ronda, dropped out of the mountains to beautiful Marabella (you can actually see the Rock of Gibraltar on this drive) and continued on from Marabella, skirting Malaga, to spend 3 days in Nerja on the Costa del Sol. We then drove to Madrid, dropped off our car at Barajas, used a hotel shuttle to our lodging, and spent the last 3 days in Madrid. Total cost of the rental was less than $400 for the entire trip. We weighed that cost versus numerous train tickets. Driving in Spain easy compared to most of the states.