The Malaga Airport train station is one of the most used stops connecting the Maria Zambrano main train station in Malaga and Fuengirola train station at the end of the C1 (Cercanias 1) line. Remember with trains running in both directions every 20 minutes you are not in a hurry. Collect your luggage, check your messages while you have a cold beer just outside the Arrivals Hall and then stroll 100 metres to the train station.
From Fuengirola to Malaga airport the C1 line runs overground all the way until it approaches the airport. There it dips into the underground train station which just in front of the main T3 terminal building. It then runs overground again until dipping underground just before the Maria Zambrando main train station in Málaga. If you are taking the AVE to Madrid simply walk upstairs or take the lift and you will be right in front of the AVE departure platform