The 59-year-old was previously in charge of Palermo in February last year where he was dismissed after three weeks. The Sicilians were eventually relegated.
Before that, Malesani was in the hot seat at Genoa during the 2011/12 season but was fired after an extraordinary 4-1 home defeat by Siena.
Genoa fans were so angry with their team's performance in that game that they hurled smoke bombs and firecrackers on to the pitch and scaled the perspex barriers around the field.
Malesani replaced Eusebio Di Francesco who was fired on Tuesday after 19 months during which he led the team into Serie A for the first time.
Sassuolo are 18th in the 20-team table with 17 points from 21 games.
The much-travelled Malesani has previously coached Chievo, Fiorentina, Parma, Verona, Modena, Panathinaikos, Udinese, Empoli, Siena and Bologna.
His biggest successes were in the 1998/99 season when he won the Coppa Italia and UEFA Cup with Parma.
Also on Wednesday, Spanish champions Barcelona announced they had agreed to sell their teenage B team forward Tonny Sanabria to Sassuolo for a fee rising up to 12 million euros ($16.4 million).
A total of 4.5 million euros was guaranteed, with the rest linked to the 17-year-old Paraguay international's performance and his future market value, Barca said on their website (www.fcbarcelona.es).
Sanabria joined Barcelona's academy in 2010 and has played 10 matches for the B side this season, scoring three goals. He made his debut for the senior Paraguay team during their unsuccessful World Cup 2014 qualification campaign.
- Sports & Recreation
- Eusebio Di Francesco