Al-Baghdadi was known to have four wives, the maximum number one can have under Islamic law at one time.
"The United States said Baghdadi killed himself in a tunnel.
They started a communication campaign about this," said President Recep Tayyip Erdogan.
"But I am announcing it here for the first time: We captured his wife and didn't make a fuss like them.
Similarly, we also captured his sister and brother-in-law in Syria," he said in a speech at Ankara University.
He gave no other details.
A senior Turkish official said earlier this week that Turkey had captured al-Baghdadi's sister, her husband and daughter-in-law, and hoped to gain intelligence from them about ISIL, although Ankara has not said what knowledge they may have had about the group's operations.
A Turkish official said the 65-year-old sister is suspected of being affiliated with ISIL and called her capture an intelligence "gold mine".
Fahrettin Altun, Turkey's communications director, said on Twitter.
"The arrest of al-Baghdadi's sister is yet another example of the success of our counter-terrorism operations."
Al-Baghdadi death: Scars of ISIL rule linger in Mosul
Up and until his death, al-Baghdadi had moved from place to place in eastern Syria amid a tightening US-led campaign against his group.
He ended up in Idlib, in northwestern Syria, an area controlled by a rival armed group.
Last month, US Secretary of State Mike Pompeo said two of al-Baghdadi's wives had also been killed at the site of the American raid.
Al-Baghdadi rose from obscurity to lead the ultra-hardline group and declare himself caliph of all Muslims, holding sway over huge areas of Iraq and Syria from 2014-2017 before ISIL's control was wrested away by a US-led coalition.
World leaders have welcomed his death, but they and security experts warned the group, which carried out atrocities against religious minorities and horrified most Muslims, remained a security threat in Syria and beyond.
ISIL said a successor to al-Baghdadi - identified as Abu Ibrahim al-Hashemi al-Quraishi - had been appointed.
A senior US official said last week that Washington was looking into the new leader to determine where he came from.
Reuters news agency