The three-match Test series between England and the Windies is currently locked at one-all with one match left to play at the Home of Cricket.
The 30-year-old Malan, who has scored two half-centuries in his four Tests, has played all his county cricket for Middlesex, who play their home games at the famous venue.
The left-hander admits he thought his time to play Test cricket for England had gone.
Malan said: “If someone had told me at the beginning of the year, or four years ago, that I would play a Test match for England, I would probably have laughed at them.
“I don’t think I will ever be relaxed walking out there but I think you feel more comfortable. I have played a lot of cricket here and I enjoy batting at Lord’s.
“Hopefully I can get in, get stuck in and not give it away.”