He provided no further details as he addressed theology students in Ankara.
Mr Erdogan did not say where or when she was detained.
On Wednesday, a senior Turkish official said during a separate operation previous year, Baghdadi's wife identified herself as someone else but was in fact Asma Fawzi Muhammad Al-Qubaysi - Baghdadi's first wife. However, not much is known about them.
"I declare for the first time, we also seized the wife of Baghdadi", Erdogan said.
In a speech he delivered in Ankara on the 70th anniversary of thefoundation of Ankara University's theology faculty, Erdogan said "thereal terrorist targeting innocent civilians in the name of Islam must beidentified".More news: Walmart Black Friday deals: What can you get?
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One of al-Baghdadi's wives is an Iraqi known by the name of Nour, the daughter of one of his aides, Abu Abdullah al-Zubaie. The Iraqi ex-wife, Saja al-Dulaimi, had fled from al-Baghdadi in 2009 while pregnant with his daughter. His first wife was Asma Fawzi Al Qubaisi, who was his cousin and the mother of his five eldest children: Hufaiza, Omayma, Yaman, Hasan and Fatima. We have caught his wife in Syria, but we have made no noise of it.
A senior USA official, speaking on condition of anonymity, said that monitoring of Islamic State social media indicates that even followers did not know much about Hashimi.
Last month, US Secretary of State Mike Pompeo said two of Baghdadi's wives had also been killed at the site of last month's raid.
Al-Baghdadi blew himself up after American forces stormed his remote compound in northern Syria near Turkey in late October, American officials have said. Rasmiya Awad, 65, was captured in Northwestern Syria with her husband and daughter-in-law.
Until his death, al-Baghdadi had moved from place to place in eastern Syria amid a tightening USA -led campaign against his group as IS-held territory fell bit by bit.
The group said a successor to Baghdadi, identified as Abu Ibrahim al-Hashemi al-Quraishi, had been appointed.