Naldo made his debut for the club, starting the whole game, in a 4–1 win against FC 08 Villingen in the first round of the DFB–Pokal. Since joining Schalke 04, he quickly established himself in the starting eleven and found himself rotated in a centre–back position, competing with Matija Nastasić and Benedikt Höwedes. This came after when his performance came under criticism. Despite suffering a back problem, Naldo was able to make his 300th Bundesliga appearance against Bayern Munich on 9 September 2016, as the club lost 2–0. He helped Schalke 04 kept four clean sheets between 20 October 2016 and 3 November 2016, including two against Krasnodor in the UEFA Europa League matches. After missing one match due to a muscular problem, Naldo returned to the starting line–up against Bayer Leverkusen on 11 December 2016, only to be sent–off for a 4th minute for a foul on Javier Hernández, as the club lost 1–0. After the match, he served a two match suspension. Naldo returned to the starting line–up against Ingolstadt 04 on 21 January 2017 and helped Schalke 04 kept a clean sheet, in a 1–0 win. Two weeks later on 4 February 2017, he scored his first goal for the club, in a 1–1 draw against Bayern Munich. In a follow–up match against SV Sandhausen, Naldo scored his second goal for Schalke 04, in a 4–1 win to advance to the next round of the DFB–Pokal. However, in a 1–1 draw against PAOK that saw the club through to the next round in the return leg of the UEFA Europa League Round of 32, he suffered a partial tear in the adductor area. After the match, it was announced that Naldo would be sidelined for the rest of the 2016–17 season. Despite there’s a chance that he could return before the end of the season, Naldo eventually made his return to the starting line–up on the last game of the season against Ingolstadt 04, as Schalke 04 drew 1–1. At the end of the 2016–17 season, he went on to make twenty–nine appearances and scoring two times in all competitions.