The reigning premier maintained its unbeaten run in 2011 with a 30-point defeat of the Bombers before a crowd of 89,626, but the final scoreline didn't reflect the closeness of the match.
After Collingwood jumped clear early, James Hird's much improved side pushed to within a point during a third term in which they booted four of the first five goals.
Malthouse was pleased that his players were able to steady towards the end of the quarter, and again in the last when Essendon kicked the first two goals.
"We know what it means to the Essendon side, and they were always going to come pretty hard at us," Malthouse said.
"I thought Essendon, when they kicked their goals, that was fine, that's the challenge, to get them back.
"But then we ground out passages of eight to ten minutes basically in their front half.
"That's a great opportunity for us to be stretched and extended and find out a bit more about our playing group…and I was very proud that our boys not only stood up, but weathered it."
Malthouse paid particular praise to small forward-turned-half-back Leon Davis, whose duel with Bomber livewire Leroy Jetta was one of the highlights of a memorable afternoon.
While midfielder Scott Pendlebury was a clear ANZAC Medal choice among the voting judges, the Collingwood coach believed Davis, who finished with 28 disposals and five tackles, should have been vying for the award.
Malthouse said he never lost confidence in the 29 year-old despite leaving him out of the 2010 Grand Final replay after a quiet performance in the first decider.
"I've lost no faith in Leon, the side's lost no faith, and he's lost no faith in himself," Malthouse said.
"I thought he demonstrated today that his use and his body work, and his ability to read the play and work with the other (backline) players is getting better and better as he goes.
"It (Collingwood's defence) is not an easy division to break into, because those boys have been playing together for some years in many respects.
"So he's not just going to come from the forward line and jump in there. It doesn't happen that quickly."
Malthouse said the Magpies, who face another stern test against the Western Bulldogs next Sunday, had no injury concerns arising from the match.
