Some of the injured were trapped in the plane
First reports suggested that engine failure forced the pilot to make an emergency landing on the national highway N340.
Three passengers were killed and the pilot died later in hospital.
Spanish national radio said some of the injured were in a critical condition.
National news agency Efe reported passengers saying that the plane's left engine had shut down as the aircraft approached the airport.
The Binter Mediterraneo plane with 44 passengers and three crew had been on the short trip from Melilla, a Spanish enclave in Morocco, to Malaga.
It has been revealed that the Spanish-made aircraft - a twin-engined, propeller-driven CN-235, has had a poor safety record this year, with three crashes in Turkey, killing more than 40 people.
Some experts say that the CN-235 is better suited to military transport.
A reporter at the scene for Spanish radio said the plane seemed to come down nose first.
A spokeswoman for Spain's national airport authority said the pilot had warned Malaga air traffic control at about 1000 local time (0800 GMT) that he was about to make a crash-landing.
The pilot managed to keep the plane upright and land partly on the road.
Two of the dead passengers were later identified as Melilla residents, the third was a French citizen.
Skilful flying
The Spanish pilots' union, SEPLA, paid tribute to the plane's captain Mariano Ruano, 55, and said his skilful flying had averted a greater tragedy.
Malaga provincial police chief Jose Torres Hurtado was reported as saying: "The pilot had an engine failure. With a bit more altitude, he would have made it."
Binter, a former subsidiary of the national airline Iberia, said the cause of the accident had not been determined.
The Binter fleet has five CN-235s. Earlier in the year, Iberia sold Binter to Air Nostrum, a privately-owned Spanish airline that operates as an Iberia franchise.
Malaga airport remained open and a spokeswoman at Gatwick Airport - the starting point for most UK flights to the resort - said the crash was not causing problems.