Malone was drafted shortly after graduating high school, and went on to play at St. Cloud State University for four seasons. Malone played three games of the 2002–03 with the American Hockey League (AHL)'s Wilkes-Barre/Scranton Penguins after his last season at St. Cloud State. He played 81 games of his rookie season with the Pittsburgh Penguins during the 2003–04 season. Malone finished third on the team in scoring behind Dick Tärnström and Aleksey Morozov. He did not play with the Penguins again until the 2005–06 season, spending time during the 2004–05 lockout in Finland, Italy and Switzerland.