Probably the best rated is BeOne in Rincón de la Victoria: https://beone.es/centers/rincon-de-la-victoria
There is a swimming pool in the building and yoga, pilates, zumba, etc. classes are available.
In Torre del Mar you can train here: https://altafitgymclub.com/gimnasios/malaga-velez/
Other options:
https://www.facebook.com/nirvanagym.es/
https://olimpongrgym.es/
Note: The on-site Gym is for residents only.