I hope I can help :-)
There is no really good connection by train in Spain between the Costa del Sol and France. Sorry...
You may know the A.V.E. (Tren de Alta Velocidad Español) - the high-speed spanish train.
The A.V.E. will in the near future connect almost all larger Spanish cities, but for the moment and for your particular case, you can only leave from Seville to Madrid by AVE and then from Madrid to Lérida/LLeida in Catalonia. Then take a non AVE train to Barcelone (as the AVE from Lérida/Lleida to Barcelone is not finished yet). Then from Barcelone to the French border, where you have to change trains again!
A- Where in France are you going?
B- Would you mix train and plane?
If you can go by plane all gets much better!
I would consider these options:
1- From Málaga airport (AGP) you go by plane to Barcelone (BCN) with www.vueling.com or www.clickair.com, which have very good prices. There is at the moment with vueling an offer of just 10E for the outbound flight if you buy a return ticket. From Barcelone you can catch the train to France.
2- From Málaga airport you fly to Madrid (MAD) with Vueling or go by AVE from Seville. From Madrid take an Easyjet flight direct to Toulouse (is that your destination?). I´ve just seen Easyjet = 20E in September Madrid- Toulouse.
3- You fly Málaga-Bilbao with Vueling or Clickair.
Well, these are just some options....
Date of your travel
why by train