The Kings connected on a season-high 12 3-pointers in the victory, helping to end a three-game losing streak. It was their lone victory of a four-game road trip. Marcus Thornton added 15 and DeMarcus Cousins chipped in 14 points and 11 rebounds.
"It was a disappointing road trip, but instead of hanging our heads and feeling sorry for ourselves we battled back," Malone said.
The Kings have yet to find a rhythm since acquiring Gay, Quincy Acy and Aaron Gray in a trade with Toronto two weeks ago. But Gay said he'll take progress any way it comes.
"You want to win every one, but we got this one, and this will make our road trip a little easier on the road back," he said. "But we've still got a long way to go."
Arron Afflalo led Orlando with 26 points in his return to the lineup after sitting out for the first time this season with an illness Wednesday. Tobias Harris finished with 21 points.
The Magic fell to 0-13 when opponents have scored 100 or more points. They have lost four of their last five, and four straight at home.
The Magic clung to a two-point lead entering the final quarter, but were outscored 18-4 in the first five minutes as the Kings took a 93-81 lead.
Sacramento maintained its cushion until a 3-pointer and layup by Harris got the Magic within 98-93 with 3:25 to play.
After getting a stop on the other end, Afflalo got free on a fast break but his layup attempt rolled off the rim.
Cousins then got a layup, and was fouled. He missed his free throw, but was fouled again. He then made 1 of 2 free throws to make it 101-93.
The Magic kept scrapping, and got down to 101-97 with under a minute to play.
They had the ball with 55.4 seconds, but turned it over on the inbounds play when Afflalo slipped near the sideline and Victor Oladipo's pass sailed over his head and out of bounds.
"The margin of error is pretty small," Magic coach Jacque Vaughn said. "Those plays throughout the course of a game, they add up. And I think that's the lesson for us. As you continue to grow, those possessions matter."
Malone went as far as questioning his team's commitment after giving up 70 points in the paint to the Heat.
But he also acknowledged before Saturday's game that it would take more practice time before their recent trade acquisitions to get comfortable.
The trio have been active for six games since the trade, but gotten in only one full practice with their new teammates in that span.
Gay, who has started all six of his games with Sacramento, was sluggish early against the Magic and missed his first five shots before finally getting on the board late in the second quarter.
His teammates backed him up, though, shooting 49 percent for the game.
"We had a lousy first quarter. They shot 61 percent, then after that we defended at a much higher level, and this time we were able to close out and get the win," Malone said.
With Afflalo back in the lineup, the Magic had a much better flow from the outset offensively.
They shot a season-low 32 percent in their loss to Utah, but recovered to shoot 47 percent against the Kings. It wasn't enough, thanks to errors down the stretch.
Despite being mired in a stretch that has seen the Magic drop 10 of their last 12, Afflalo said he's not concerned about their recent woes consuming them.
"We won't have it where it's like out of hand and we're not competitive anymore," he said. "So I don't really care too much about, you know, the East being weak or whatever. ... The reality is we're four or five games from being in a comfortable spot in the playoffs. That's what this season calls for. That's how I'm going to approach it."
The Kings won their first road game since Dec. 7. ... Oladipo had a streak of 16 consecutive starts end Saturday night. ... Cousins received a technical foul with 5:08 left in the fourth quarter for arguing with referee Ken Mauer.
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ORLANDO, FL - DECEMBER 21: Victor Oladipo #5 of the Orlando Magic dribbles the ball against the Sacramento Kings...