Except for coloration, they look very similar, even down to the eyes with their spark of intelligence.
Yes, they do, but Malinois (as all Belgians) have always been (ALWAYS, even in the 1st days of the breed) smaller, slighter and thinner. They also don't have the jaw strength of the GS. Malinois never have all the black that most GS do all over their bodies; it's only on the face, period.
Look at their cousins - the "varieties" of Belgian in "Sheepdog" (Groenendael), Tervuren, and Lakenois and you'll see while they all look a bit like GS, they're all vastly different, and Malinois is part of this family.
I've always though the Tervuren looked like the perfect cross between Collies and German Shepherds (don't tell some Terv fanciers, they get highly offended). And they're my 2 favorite breeds!