Malkin deflected a puck past Columbus goalie Steve Mason at 2:47 of the third period to give Pittsburgh its first lead. Arron Asham and Pascal Dupuis also scored for Pittsburgh (3-0).
The Penguins paired star centers Sidney Crosby and Malkin on the same top line for most of the game. Malkin, a center in his previous four NHL seasons, worked the right wing.
Defenseman Michael Ratchuck scored for Columbus (1-3), roofing a backhand shot past Marc-Andre Fleury.
Fleury finished with 32 saves, and Mason stopped 25 shots.
On Friday night in Columbus, the Penguins beat the Blue Jackets 5-4.