Jose Carlos Perez, who is also a close aide of club owner Sheikh Al-Thani, revealed that an agreement has been reach among all parties.
The 29-year-old has struggled to feature for the Lupi under Claudio Ranieri this season and had been linked with a move to Malaga for quite a while.
"He has signed for two-and-a-half years and the transfer is €2 million with Roma," he said, according to Sky Sports.
Malaga will be Baptista's third Liga club after his time at Sevilla and Real Madrid.
Perez also added that Atletico Madrid duo Ignacio Camacho and Sergio Asenjo will also be taken on board.
"Camacho will remain for the season and four more. There may be an option to re-purchase."
"In principle, there is also an agreement with Asenjo."
Camacho, 20, is a defensive midfielder while Asenjo is a highly rated young goalkeeper who has struggled to play regularly for the Rojiblancos so far this campaign after losing his place to David De Gea.
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