At the start of the 2018–19 season, Naldo was appointed as Schalke 04’s vice–captain by Manager Tedesco. However, he made a poor start to the season, with the club only won once in the first five matches of the season. As a result, Naldo found himself in and out of the starting line–up, which saw him placed on the substitute bench. Manager Tedesco defended his decision to leave out the player on the starting line–up, saying: "He was spared. When you see the intensity of the previous games against Porto and Bayern, it makes sense not to let a 36-year-old play three games in a week." Despite this, he helped Schalke 04 kept two consecutive clean sheets between 3 October 2018 and 6 October 2018 against Lokomotiv Moscow and Fortuna Düsseldorf. On 17 October 2018, Naldo signed a contract extension with the club, keeping him until 2020. Shortly after, he captained Schalke 04 for the first time against his former club, Werder Bremen on 20 October 2018, as the club lost 2–0. A week later against 1. FC Köln in the second round of the DFB–Pokal, Naldo captained Schalke 04 for the second time this season and helped the club win 6–5 in a penalty shootout following a 1–1 draw. By the time he left Schalke 04, Naldo made thirteen appearances in all competitions.