Messi had felt pain in his thigh during Barca's draw against Valencia on Sunday and, despite training on Tuesday evening, was not deemed fit enough to start the first leg at the Camp Nou.
Bale is still regaining fitness too following three weeks out with a calf injury although the Welshman might have been more confident of making Madrid's line-up, having faced Alaves in La Liga on Sunday.
It is the second consecutive Clasico in which Messi has not played from the start, after the Argentinian sat out Barcelona's 5-1 thrashing of Madrid in October with a broken arm.
Malcom came into the attacking three alongside Luis Suarez and Philippe Coutinho while for Madrid, Lucas Vazquez was preferred to Bale, joining the in-form Karim Benzema and Vinicius Junior up front.
Barca's slip at home to Valencia ended their eight-match winning run in the league. Madrid have found some form in recent weeks by registering five consecutive victories in all competitions.