"Julio Baptista and Malaga reached an amicable agreement on Friday to terminate the striker's contract," Malaga said on their website.
"Malaga would like to wish the Brazilian the best of luck for the future and his new career with Cruzeiro," the Qatar-owned club added.
Known as "the beast" due to his muscular frame and robust playing style, Baptista, 31, joined Malaga from AS Roma in Jan. 2011 and netted nine goals in 11 games to help them avoid relegation.
However, he was sidelined for more than a year with a broken bone in his foot and a ruptured Achilles tendon before returning to help Malaga to the Champions League quarter-finals last season.
His first European club was Sevilla and he later had stints at Real Madrid and English Premier League side Arsenal.
In an interview with Reuters in February, he said he was hoping to win a place back in the Brazil team and add to the two Copa America crowns he won in 2004 and 2007.
He last played for his country under coach Dunga at the 2010 World Cup in a 0-0 draw with Portugal.