The 31-year-old Brazil international, who has been with Malaga for two and a half years, now looks set to join Cruzeiro in his homeland.
A statement on Malaga's website today read: "Julio Cesar Baptista and Malaga reached an amicable agreement on Friday 19th July to terminate the striker's contract. 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 enjoyed an impressive start at Malaga, scoring nine goals in 11 games after joining from Roma during the 2010/11 January transfer window, but was hit by injuries in his second season and made just four league appearances.
He returned to action in the second half of last season, playing 18 times in all competitions while scoring four goals.
Baptista has also played for Arsenal, Real Madrid, Sevilla and home-town club Sao Paulo.