Please advise on below itinerary:
Arriving Malaga Airport direct from EWR. Will have car rental in Malaga.
4 nights in Malaga will visit: Marbella 1st day dinner in el Pimpi, Alhambra day 2 with flamenco cave dinner in Albayzin , 3rd day early morning Caminito del rey tour & lunch in Rhonda, 4th day Mijas, Frigiliana and Nerja.
3 nights Sevilla: on the way from malaga train stopping in Cordoba for lunch, dropping luggage at train station lockers. Take train to Sevilla and check into hotel end with flamenco dinner. 2nd day visit la cathedral & plaza de Espana. Please recommend must do’s in Sevilla.
If you’re stopping at Cordoba on the way to Sevilla, make your lunch just a quick stop or something on the train and tour the Mezquita (you will need reservations).
Sevilla - tour the Alcazar, also. You will want/need reservations for the cathedral tour & the Alcazar.
I don’t see that you’re doing anything in Malaga. It seems very much like a sampler plate instead of spending time enjoying locations. Are you just using it for a place to sleep?
Are you going to Mijas to play golf? It’s west of Malaga, and everything else on your 4th day is east of Malaga. We stayed several nights in Nerja and also spent a day strolling through Frigiliana. I would take this day and give it, instead, to Cordoba for a full day before taking an evening train to Sevilla.
I don't believe there are lockers at the Cordoba train station. Other posters have mentioned lockers at the nearby bus station. However, it's reported that sometimes there are no vacant lockers there, so you should have a back-up plan. There are other luggage-storage places available through companies like Radical Storage, Nanny Bag and Stasher. In most if not all cases those third-party companies require pre-booking. I don't know whether that has to be done by a particular time, such as a day in advance.