Authorities had been hunting for Hesse for several days after they were alerted by people who had viewed the clip on the "darknet", a hidden online arena notoriously used by criminals to trade weapons, drugs and child pornography.
A team of police discovered the child's corpse on Monday when they searched the cellar of the suspect, who has been described as an unemployed and socially withdrawn man not previously known to authorities.
The child had been Hesse's neighbour and investigators on Monday said they could not rule out that he had also killed a woman.
After his arrest Thursday night, Hesse put the investigators on the trail of an apartment he had just burned and in which a second dead body was found.
In a conversation on the internet, Hesse had said that he had "fought a beast of 120 kilos" (260 pounds) and that "she put up more of a fight than the child."