The 31-year-old, who joined La Rosaleda in January 2011 from Roma, had been hindered by injuries during his time at the Andalusians.
Malaga confirmed the switch from Spain to Brazil, where the ex-Sevilla star signed a two-year contract at Cruzeiro on Wednesday.
"Julio Cesar Baptista and Malaga reached an amicable agreement on Friday July 19 to terminate the striker's contract," a statement on the club's official website read.
"The club and the player came to an understanding following his last match against German side, Kaller SC.
"Malaga would like to wish the Brazilian the best of luck for the future and his new career with Brazil's Cruzeiro."
Baptista made 18 appearances for los Boquerones last season, scoring four goals in the process.
The ex-Arsenal player has won one Liga title, while at Real Madrid, as well as two Copa America and two Confederations Cup en route to picking up 47 Brazil caps.