The sale to Israeli billionaire Idan Ofer for an undisclosed sum adds to deals worth about $16 billion that Wanda has announced since last year.
Wanda bought a 20 percent stake in Atletico in 2015 for 45 million euros (£40 million), becoming the first mainland Chinese company to invest in a top European club as part of China's push into football.
Ofer is buying the stake with an investment fund he controls called Quantum Pacific Group which now owns 32 percent of Atletico. Spanish website El Confidencial, which first reported the sale, said it was for about 50 million euros.
Wanda, along with other major conglomerates including HNA Group and Fosun International , has faced increased scrutiny of its finances and debts over the past year as Beijing clamps down on what it terms irrational overseas deals.
"The decision to disinvest is part of the Chinese group's global strategy," Atletico said in a statement on its website.
A spokesperson for Wanda Group declined to comment when contacted by Reuters.
China abruptly shifted over a year ago from a policy of providing its domestic conglomerates with cheap cash to help them to become global champions, towards tightening capital controls and bank credit.
Last month, Wang Jianlin, Wanda's chairman, said the company had greatly reduced its debt and would use its "limited cash" in developing Wanda Plazas, the group’s core business.
He also pledged to reduce Wanda’s corporate debt through all available means to "absolute safe" levels within two or three years.
Wanda has sold off domestic hotel and theme park assets and has brought in strategic investors to its film and commercial property subsidiaries. In January, Wanda said its commercial property arm reached a deal to get a $5.4 billion investment from a group led by tech giant Tencent Holdings.
Wanda's stake purchase in Atletico was part of its push into culture and entertainment at the start of 2015 and coincided with Wanda's embrace of football as China campaigned to host the World Cup.
Atletico said Wanda would remain a sponsor and they would continue to collaborate on initiatives to boost the club's brand in China.
Atletico are the third most successful club in Spanish football, with 10 Liga titles and 10 King's Cups to their name.
In 2014, they broke Real Madrid and Barcelona's nine-year stranglehold on the Liga trophy and reached the Champions League final in 2014 and 2016, losing both times to neighbours Real.
(Reporting by Angus Berwick; Additional reporting by Pei Li; Editing by Edmund Blair/Keith Weir)
