"The two entities have closed an agreement so that the player from Puerto de Santa Maria can become the seventh incorporation for next season," Malaga said on their website.
"He will complete his commitment in the coming days."
The 29-year-old, who has won 51 international caps, was Valencia's most expensive signing when he joined from Real Betis in August 2006 for a fee of around 25 million euros (£22m).
Local media reported the midfielder would move for a fee of up to five million euros.
Joaquin will join Argentines Diego Buonanotte and Martin Demichelis, Dutch duo Joris Mathijsen and Ruud van Nistelrooy, Spanish defender Nacho Monreal and French midfielder Jeremy Toulalan as new recruits at the club.
Malaga were bought by a member of the Qatari royal family at the end of the 2009/10 campaign and after finishing 11th in La Liga last month have continued to build a squad they hope will challenge for a European qualification berth next season. ($1 = 0.698 Euros)