In today's other game Malaga held on for a 0-0 draw with Borussia Dortmund thanks to an inspired performance by goalkeeper Willy Caballero.
Dortmund's high-paced attack led by Mario Goetze and Robert Lewandowski produced several scoring chances for the German champions, but their lack of finishing touch and Caballero's saves let the hosts keep their seventh clean sheet in 11 games.
Malaga will have a slight away-goal advantage when it visits Dortmund for the return leg on April 9.
"They didn't score against us today, that is the most important thing,'' Caballero said. "I hope my saves serve for something come next week. We are facing a very tough rival. Now we have another week to study them.''
Dortmund remained unbeaten in the competition this season, while Malaga has yet to lose at its La Rosaleda Stadium in its first appearance in Europe's top-tier tournament.
Pushed forward by its raucous home fans, Malaga made a bright enough start. But once Dortmund started to click, the German side didn't slow down.
After Malaga's Javier Saviola hit the side-netting in the seventh minute, Goetze had two golden chances to put Dortmund ahead but Caballero denied him on both occasions.
The young Dortmund star's weak shot was parried by Caballero in a one-on-one in the 14th minute after Lewandowski had headed a long ball on to Goetze, giving him all the time he needed to size up the `keeper.
Goetze did better with a sharp strike on the break four minutes later, only for Caballero again to bail out his defense as he stood his ground.
Although Malaga forward Franciso "Isco'' Alarcon provided a threat, the match tilted in Dortmund's favor as it gained a greater share of the ball and got Malaga on the back foot. Dortmund's blistering pace, fueled by Marco Reus, started to overrun Malaga's defensive midfield pair of Jeremy Toulalan and Manuel Iturra.
Malaga centerback Weligton was forced to scramble back and foul Lewandowski on the edge of the box at the half-hour mark, meaning he will miss the return leg.
Bending but refusing to break, Malaga managed to settle down and the final 10 minutes before halftime were a constant back-and-forth by both teams seeking the elusive goal.
Dortmund goalkeeper Roman Weidenfeller got his first true test in the 42nd minute when Weligton sent in a header that he did well to repel, while Caballero saved a long shot from Sebastian Kehl before the break.
The visitors picked up where they had left off in the second half, and soon dominated possession.
Lewandowski scuffed a clear chance in the 47th after Goetze had broken behind Malaga's backline and crossed for his striker as he arrived unmarked down the middle of the box.
Goetze then went close again in the 65th with a shot by the far post, a minute before Isco replied with a stringing strike punched clear by Weidenfeller.
Malaga's Iturra will also miss the second leg after picking up a yellow card in the 78th.
"We have suffered all season from losing players that have had to leave, so we will move forward,'' Caballero said, referring to the club's sale of regular starters Santi Cazorla, Nacho Monreal, and Jose Rondon since last season.
- AP
