The team comprising Quzandria Nur Mahamad Fathil, Lee Cheng Ni, Putri Alia Soraya Ahmad Shuhaimi and Qabil Ambak scored an overall average of 64.830 points to win country's third gold medal of the 24th Games.
Malaysia's first two gold medals came from the already concluded shooting competitions which were held in Bangkok before the official opening of the Games in Korat on Thursday.
Indonesia and Thailand took the dressage team silver and bronze respectively with scores of 63.052 and 60.785.
Malaysia top dressage rider Putri Alia, on Odurin, scored 66.756, which was also the highest individual score of the day.
The other three riders also fared well with Quzandria, on Lewes, posting 62.178; Cheng Ni, on Antschar, chalking up 60.622; and Qabil, on Dexter, scoring 65.556.