Mr Erdogan said that Baghdadi's brother-law had also been apprehended.
It comes just a day after Ankara officials claimed that Turkish forces had captured Rasmiya Awad, 65, Baghdadi's older sister, along with her husband and daughter-in-law in the town of Azaz, just over the border from Turkey.
Mr Erdogan did not go into any details about the operations that led to the arrests.
"The United States said Baghdadi killed himself in a tunnel. They started a communication campaign about this," he said in a Wednesday speech at Ankara University.
"But, I am announcing it here for the first time: We captured his wife and didn't make a fuss like them. Similarly, we also captured his sister and brother in law in Syria."
Fahrettin Altun, Mr Erdogan's communications director, said on Tuesday the capture of Awad was "another example of the success of our counter-terrorism operations".
Ms Awad is being interrogated to gather more information on the militant group’s leadership structure and operations, officials told Reuters.
It is unclear what intelligence she would have. No details have been given about Baghdadi's wife.
Baghdadi, one of the world's most wanted men, was killed last week during a US Delta Force raid on a compound in Barisha, in north-west Syria just a few minutes from the border with Turkey.
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