At the start of the 2015–16 season, Naldo was given the captaincy following Benaglio's absence. He played 120 minutes as captain in the DFL-Supercup against Bayern Munich, as Wolfsburg won 5–4 on penalty shootout. Naldo captained the club in the next three matches. After Benaglio’s return from his absent and resumed his captain duty, he helped Wolfsburg kept four clean sheets between 28 August 2015 and 19 September 2015. Since the start of the 2015–16 season, he continued to establish himself in the starting eleven, forming a centre–back partnership with Knoche once again. On 21 November 2015, Naldo signed a contract extension with the club for another year, having played twenty matches so far. He helped Wolfsburg kept three clean sheets in three matches between 21 November 2015 and 29 November 2015. Two weeks later on 8 December 2015, Naldo scored two goals, in a 3–2 win over Manchester United, which saw the opposition team eliminated from the Champions League. He captained two more times for Wolfsburg before suffering a shoulder injury during a 2–0 loss against Bayern Munich on 2 March 2016. Following this, Naldo underwent a successful operation on his shoulder and was expected to be out for the rest of the 2015–16 season. But he made a recovery from his injury and returned to the starting line–up against Real Madrid in the first leg of the UEFA Champions League quarter–finals, winning 2–0. Following this, Naldo captained three more matches in the remaining matches of the 2015–16 season, as he helped the club finished eighth place in the league. At the end of the 2015–16 season, Naldo went on to make forty appearances and scoring two times in all competitions.