The Malay people are an important ethnic composition in Southeast Asia, but their genetic make-up and population structure remain poorly studied. Here we conducted a genome-wide study of four geographical Malay populations: Peninsular Malaysian Malay (PMM), Singaporean Malay (SGM), Indonesian Malay (IDM) and Sri Lankan Malay (SLM). All the four Malay populations showed substantial admixture with multiple ancestries. We identified four major ancestral components in Malay populations: Austronesian (17%-62%), Proto-Malay (15%-31%), East Asian (4%-16%) and South Asian (3%-34%). Approximately 34% of the genetic makeup of SLM is of South Asian ancestry, resulting in its distinct genetic pattern compared with the other three Malay populations. Besides, substantial differentiation was observed between the Malay populations from the north and the south, and between those from the west and the east. In summary, this study revealed that the genetic identity of the Malays comprises a mixed entity of multiple ancestries represented by Austronesian, Proto-Malay, East Asian and South Asian, with most of the admixture events estimated to have occurred 175 to 1,500 years ago, which in turn suggests that geographical isolation and independent admixture have significantly shaped the genetic architectures and the diversity of the Malay populations.