No, Bangladesh is not located between Malaysia and India. These countries are separated by thousands of kilometers.
Malaysia is in Southeast Asia, comprising the Malay Peninsula and parts of Borneo. It's separated from Bangladesh by the entire Bay of Bengal, India, and Myanmar – a distance of approximately 2,500+ km (1,500+ miles).
The confusion may stem from both being South/Southeast Asian nations with Muslim-majority populations, but geographically they are in entirely different subregions.