Seven or eight years before the series' timeline, Kylie and Malia were in the Tate's car being driven by their mother on the night of a full moon. She had been holding her doll right then. Unforunately, Malia shapeshifted for the first time, the car went off the road into the Preserve and fell into a ravine. Malia then severely mauled her mom and sister, resulting in Kylie and Evelyn's deaths. Malia would then live fully transformed for eight years as a coyote in the wilderness.
Malia however, remain drawn to the car wreck over the years showing she never forgot about her family in her transformed state. Scott McCall and Stiles Stilinski discovered the car wreck, and subsequently Malia, and took Kylie's doll.
In her full coyote form, Malia would attempt to track down the doll. Stiles realized she was bringing the doll back to the car wreck for Kylie in the manner of leaving to the grave.
To this day, Malia remains haunted by her sister's death holding herself accountable for both her and their mom's deaths.
However in 5x05 - A Novel Approach, Malia has a flashback to the night of the accident. It wasn't her full moon transformation that caused the car crash: a woman had fired on the car causing it to go off the road which triggered her transformation. Malia believes the woman was the Desert Wolf, her biological mother.
In 6x06 - Ghosted, Malia, Lydia Martin and Scott arrived in a small town called Canaan, which was left a ghost town after the Wild Hunt came and took the whole town's population, save for a banshee survivor named Lenore whose abilities had imbued the town. the resulting power in the area affected the three pack members, causing them to have hallucinations. Malia saw her sister and mother's corpses lying the grass, to her misery, then hallucinated Theo Raeken shooting her, then Kylie and their mom would drag Malia underground before Malia would snap out of her hallucination.