Train Malaga, Spain to Madrid

First off, train schedules vary very little from one quarter to another. If they do change it is a matter of a few minutes. Generally, when it says, "not available" it means just that - Schedule not available. Try something next month. I am sure it runs seven days a week.

You can also use bahn.de which is the German web site that has the schedules of all European trains. It is a little easier to use. However, cannot buy tickets that do not start or end in Germany.

We actually flew when we were there in April because it was cheaper. Don't know what's going on with the train fares in Spain. We would have rather taken the train. I'm going to watch this thread just to see if someone has good advice here. Just so you know, we arrived on an overnight flight from Atlanta/Madrid. Wanted to take the train to Malaga but after checking prices on both, ended up flying.

You are correct with your departure and destination stations.
You are certainly not going to find schedules this far ahead. And as advised the schedules are highly unlikely to change from what appears at present.

Many a guide to the RENFE website on-line like

http://www.seat61.com/Spain-trains.htm#How_to_use_www.renfe.com

or the hugely comprehensive

http://www.tripadvisor.com/Travel-g187514-c80518/Madrid:Spain:Buying.Renfe.Tickets.Online.html

If you see the price in dollars you are not on the real Renfe website. Make sure you are not being switched to Rail Europe.

Schedules and fares for April definitely are not out yet. Try looking in February and look for a Promo fare.

Looking at a random Tuesday in December, I see trains almost hourly, and Promo fares of 39.75€ on most of those trains.

Understand your frustration with RENFE site, but stick with it as experience is well worth the trouble. Guidance about Tripadvisor is on target, but there are several other sites which may ease your pain. Buy directly from RENFE and they will offer substantial savings. You do not need first or business class for a great experience, coach is terrific. We prefer the train, AVE, and the ease of travel. Terminals are clean and easy to get around, be sure and check out Madrid terminal interior landscaping. Arrive 45 minutes prior to departure, no hassle security, easy check in, find your assigned seats, plenty of folks around to help you, ample storage for your luggage, comfortable seats, movie and audio available free with headsets, big windows, great views. We passed on the airline due to desiring a great experience. Do check the schedule carefully as there are AVE's which make just a couple of stops and some which make about five stops. Enjoy!

Also, we really liked Malaga and the surrounding area. We stayed in Malaga for a week and used it to day trip to Granada, Ronda and surrounding areas.

I am planning the same trip in March. I looked at car rentals and Auto Europe has a two week rate for only $114! Is there anything wrong with driving from Madrid? What are the downsides?

Nothing wrong with driving, be sure and factor in cost of fuel.
From Malaga to Madrid is a long pretty flat stretch of highway, so consider how you desire to use your time.
Where are you planning on dropping off the car in Madrid? I advise against trying to drive into old town Madrid and park.