Eliza Samudio, 25, was a former girlfriend of Bruno Fernandes, goalkeeper for Flamengo, Brazil's most popular club.
He handed himself into police after a warrant was issued for his arrest over her disappearance nearly a month ago.
Mr Fernandes, 25, has denied any wrongdoing, and said he has a "clear conscience".
But police say a teenage cousin of Mr Fernandes has given evidence that the goalkeeper was involved in her kidnap and suspected murder.
Ms Samudio had said that the married footballer was the father of her baby.
Police say Ms Samudio was taken by force from a hotel in Rio de Janeiro on the day of her disappearance and was strangled in the city of Belo Horizonte.
They say her body was cut up and parts were fed to dogs, while the rest was buried under concrete.
Police are still searching for her remains, but say her death is "materially proven".
Police have also arrested Mr Fernandes's wife, Dayane Souza, and several of his friends.
They say interrogation of the other suspects has backed up the account given by Mr Fernandes's teenage cousin.
Flamengo have suspended Mr Fernandes's contract and say the club lawyer will no longer be acting in his defence.
He had been goalkeeper of the Rio de Janeiro club since 2006, and captained them to the Brazilian championship last year.
Mr Fernandes has expressed regret that the allegations could damage his chances of playing for Brazil in the 2014 FIFA World Cup finals.
The missing former lover of a top Brazilian football star was strangled and then fed to dogs, police say.