The Spanish pair go toe-to-toe in Cardiff on Tuesday after winning the two European competitions last season, with Madrid lifting the Champions League for the first time since 2002 while Sevilla won the Europa League for the third time in nine years.
If history is anything to go by, the match promises to be an exciting affair with clashes between these two sides producing plenty of goals down the years - including a 7-3 success for Madrid last October.
Madrid also boast a much better head-to-head record between the two, but Sevilla are not without their successes and have beaten Madrid in both of their last two home matches, the latest of which being a 2-1 success in March.
And Cruzeiro forward Baptista, who played for both Sevilla and Madrid, believes the Andalusian side will make it tough for the European champions once again.
He told lfp.es: "Sevilla have never made it easy for Madrid, I think that for them (Madrid) it's one of the worse teams to face because the Andalusian side are a very uncomfortable opponent. They always fight."
The former Brazil international still feels Madrid hold the edge, though.
"A final is a final. You need to see how the teams are after pre-season, you need to see who has had the better pre-season and how the players are," he said.
"There are a series of factors, but Madrid have a very strong squad and are favourites, even though Sevilla have had a spectacular year.
"Sevilla have to have a perfect game, without mistakes. They need to have an impressive game to win.
"Madrid have an incredible team with two players for every place and they are all good. Right now, Madrid could carry on winning lots of titles because they have a great squad."