In a generally disappointing opening match of the season in Spain's top flight, with few moments of real quality, Sevilla had the better of the first half at the Rosaleda but wasted what chances they created.
The Europa League champions were reduced to 10 men in the 69th minute when Nzonzi, who joined in the close season from English club Stoke City, picked up a second yellow card.
Malaga pressed hard for a winner but were unable to breach the visitors' defence and it was the first time in a decade that the opening match of the Spanish season ended without a goal.
Champions Barcelona begin their bid for a sixth La Liga title in eight years at Athletic Bilbao on Sunday (1630 GMT).
Bilbao thumped Barca 5-1 on aggregate in this month's Spanish Super Cup, ending the Catalan club's bid to repeat 2009's feat when they won all six competitions they contested.
Luis Enrique's side won a treble of Champions League, La Liga and King's Cup titles last term, beat Sevilla 5-4 to win the European Super Cup this month and play at the Club World Cup in December.
Real Madrid, under new coach Rafa Benitez, play at promoted Sporting Gijon on Sunday (1830), while Atletico Madrid host another promoted side, Las Palmas, on Saturday (1830) before Valencia play at Rayo Vallecano (2030).
(Writing by Iain Rogers, editing by Ken Ferris)
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