Serbia are one of the eight surviving nations from September's group phase and will face Britain on Thursday.
Action begins on Tuesday when reigning champions Canada take on Finland, while on Wednesday the Czech Republic are up against Australia. Italy also face the Netherlands on Thursday.
Djokovic reached all four Grand Slam finals this year, winning three of them to move past Rafa Nadal to a record 24 major titles. On Sunday he beat Italy's Jannik Sinner to win a record seventh ATP Finals title.
But Djokovic is not finished yet and he would like nothing more than leading Serbia to the men's team prize for the first time since 2010 when he was instrumental in a memorable victory against France in Belgrade.
"The season is not finished yet. I really would like to win the Davis Cup with Serbia. That's a goal. It's an important week for us, for our nation. We'll do our best."
Serbia's task has been made a little easier with injuries ruling out Dan Evans and Andy Murray from Britain's line-up, although they still have world number 18 Cameron Norrie and youngster Jack Draper in the squad as well as a strong doubles line-up including world number three Neal Skupski.
Canada beat Australia in last year's final and Felix Auger-Aliassime wants to prove that feat was no fluke.
"Whenever we come together as a team we always have belief that we can win," Auger-Aliassime told the ITF's website.
"We are focussed but also more relaxed knowing we won the trophy last year."
Canada are without the injured Denis Shapovalov and will have former Wimbledon runner-up Milos Raonic in their ranks against a Finnish squad which has already achieved the country's best result in the competition.
Oddly, a large Finnish population live close to Malaga so they will not be lacking support, according to their number one player Emil Ruusuvuori. "I heard there's 6,000 coming," he said.
Traditional Davis Cup powerhouse Australia have not won the Davis Cup for 20 years but under captain Lleyton Hewitt they believe they can go one step further than last year.
"All the guys in our team lift when they play for their country," Hewitt said. "They play with a lot of passion and pride."
Alex De Minaur is Australia's top singles player and arrives in Spain confident after am impressive year which he ended just outside the world's top 10. "I'm kind of a local here now," De Minaur, who trains in Alicante and Marbella said. "It's basically a home tournament for me."
The Davis Cup will also be a chance for Sinner to shake off any lingering disappointment at losing to Djokovic in the ATP Finals on Sunday. World number four Sinner leads a strong-looking Italy side who will be favourites to beat the Dutch.
