Size & weight:
The Belgian Malinois — both males and females are lower in weight than German Shepherds. Height-wise, their averages are nearly the same.
Coat:
A German Shepherd's "standard" coat of tan and black is more two-toned than that of the predominantly tan Belgian Malinois — German Shepherds have more black in their coats.
Both breeds shed, though the German Shepherd may shed more.
Temperament/personality
German Shepherds are typically described the more affectionate breed of the two.
Family-friendly
Belgian Malinois tend to bond more closely with one specific person vs. an entire family, while German Shepherds tend to become very bonded with their family. If you've got kids in the house or you're looking for a family pet, in this instance, a German Shepherd may be the better option.
Training/exercise
Training from a young age is essential for both of these high-energy breeds. Thankfully, Belgian Malinois and German Shepherds are very trainable dogs — their intelligence is incredible, they're hardworking, and they're equally devoted to pleasing their owners, especially regarding obedience.
One thing to be mindful of is the Belgian Malinois' very high prey drive — this should be considered during training, especially if you're hoping to have an off-leash-friendly dog. Working on commands and recall is essential!
Socialization
Socializing should be an important part of training for both breeds as they are each susceptible to becoming wary of strangers, overly protective, territorial, and reactive towards dogs. Be sure to safely socialize these breeds from a young age to ward off any negative behavior traits.
Exercise and play
Both breeds are high energy and require regular exercise — both are susceptible to destructive behavior if bored (as are many breeds!).
Regarding basic play, German Shepherds tend to be the breed that prefers it of the two. Belgian Malinois enjoy play time to get their energy out and will likely do well with mentally stimulating games or activities like agility training.
Both breeds are said to enjoy the water, so swimming could be a great activity for them!