I am more comfortable saying he was an anti-capitalist than a socialist, but I think it's safe to say he was a socialist. My favorite Malcolm X quote:

“I believe that there will be a clash between those who want freedom, justice and equality for everyone and those who want to continue the systems of exploitation. I believe that there will be that kind of clash, but I don’t think that it will be based upon the color of the skin.” — Malcolm X, 1965

Now, I completely agree there's no evidence that he was a Marxist, even though some of the imagery he used to describe capitalists was quite similar to Marx's. I'd probably call him a Muslim socialist.