The coastal railway runs from Fuengirola to the Main train station in Malaga, where trains to all major destinations are available. The coastal railway stops at all main resorts (including airport) and trains run every half hour from early morning to late evening, Ensure you always buy your ticket from the station or ticket machines before boarding the train, if you do not, and an inspector asks to see your ticket you will be charged Double the maximum return fare
.Train Timetable CLICK HERE

List of stations in order of Destination ...
Fuengirola, Los Boliches, Torreblanca, Carvajal, Torremuelle, Benalmadena / Arroyo de la Miel, El Pinillo, Montemar, Torremolinos, La Colina, Los Alamos, Plaza Mayor, San Julian, Airport, Airport (Cargo Terminal) , Guadalhorce, San Andres, Malaga Renfe, Malaga Centro.