- The Diary of a Man Who Disappeared (1898)
- The House on the Hill (1899)
- The City (1901)
- The Road to Hell (1903)
- The Children of the Ghetto (1904)
- The Red Army (1919)
- The World Crisis (1931)
In addition to his novels and short stories, Malmberg also wrote several plays, essays, and political pamphlets. He was also a vocal critic of the Swedish government, and was often arrested and imprisoned for his political activities.
Malmberg's work is considered to be some of the most important and influential in Swedish literature. He is widely regarded as one of the pioneers of the modern Swedish novel, and his work has been translated into several languages.