The purpose of this paper is to study the O-operators on Malcev algebras and discuss the solutions of Malcev Yang-Baxter equation by O-operators. Furthermore we introduce the notion of weighted O-operators on Malcev algebras, which can be characterized by graphs of the semi-direct product Malcev algebra. Then we introduce a new algebraic structure called post-Malcev algebras. Therefore, post-Malcev algebras can be viewed as the underlying algebraic structures of weighted O-operators on Malcev algebras. A post-Malcev algebra also gives rise to a new Malcev algebra. Post-Malcev algebras are analogues for Malcev algebras of post-Lie algebras and fit into a bigger framework with a close relationship with post-alternative algebras.