We use the market in Fuengirola which is just across the road from the railway station and less than 100 yards from the bus station. There's a car park beneath it and a lift up to the food area. There are numerous veg, fish and meat stalls plus a Scots butcher and a fantastic spice stall.
A new ALDI has opened just beyond the Buddhist temple ,which has bread and fresh veg, but we usually go to Carrefour, either the big one on the road between Arroyo and Torremolinos or the Carrefour Express ,which can be found by heading down to Arroyo and turning left at the "Bronze Ball" roundabout. It has to be said that I'm not a great fan of Mercadona!