Julio Baptista is holding talks with Cruzeiro over a possible move, the club's director of football, Alexandre Mattos, has said.
The former Arsenal and Real Madrid player is a free agent, and he could now make a return to Brazilian football.
Mattos said he believed Baptista was keen to join Cruzeiro, adding: "It now depends on him. He is excited, and has indicated he wants to come. He wants to try to force his way back in the national team.
"He is a very strong player with a lot of quality, and will be going to a club that is structured, that pays wages on time, and that will support him."
Malaga confirmed on Wednesday that Baptista was set to make the switch.
A statement on Malaga's website 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 has been capped 47 times by Brazil but has not been called up to the national squad since the 2010 World Cup.