But the audio message purportedly from al-Baghdadi said the Iraqi government claims were false.
"Everyone has been surprised by the lies of the rulers," the voice claiming to be that of al-Baghdadi said.
"Sunnis, the Shias are your enemies. Their history is full of treacheries and plotting against you. Don't trust them or let their honeyed words fool you."
The authencity of the audio tape could not be immediately verified.
Al-Baghdadi is said to be the head of the Islamic State of Iraq, which is close to al-Qaeda's main organisation in Iraq, led by Abu Ayyub al-Masri, also known as Abu Hamza al-Muhajir.
Iraqi officials have in the past reported the capture or killing of senior al-Qaeda operatives who later turned out to have been incorrectly identified.
Accompanying the audio tape, the websites carried a statement announcing that al-Baghdadi was alive and well.
It said: "We in the Islamic State of Iraq would like to show that the [defence ministry] report... is a lie and that we do not know in the first place the person whose picture was shown on the Iraqi satellite channel.
"We bring glad tidings to the Islamic nation that the leader of the faithful, Sheikh Abu Omar al-Baghdadi... is well."
Some experts say they are not convinced that al-Baghdadi exists, suggesting he is a fictional character invented by al-Qaeda in Iraq as part of a strategy to put an Iraqi figurehead at the top of an organisation that is otherwise foreign-run.
In April, Mohammed al-Askari, a spokesman for the Iraqi defence ministry, told al-Iraqiya television that he could confirm al-Baghdadi's identity and that Iraqi security forces had been secretly following him.
He said the arrest was carried out without US military assistance.
If al-Baghdadi's arrest proves to be real, it would be a significant coup for Iraqi forces, who are trying to prove their abilities as the US force of 137,000 prepares to fully withdraw by 2011.
The violence sparked by the US-led invasion in 2003 has lessened since 2007 but April saw a spike in violence, with fighters showing themselves still capable of carrying out large-scale bombings.