Malaysian officials have said Masoud Sedaghatzadeh was arrested at Kuala Lumpur's international airport Wednesday as he sought to leave the country for Iran. He had arrived the day before on a flight from Thailand.
He is suspected of being involved in Tuesday's bomb incident, which has seen two other Iranians charged in Thailand and led to Israeli accusations that Iran was behind an international terror campaign.
Malaysian police have found that Sedaghatzadeh had entered the country several times since last year, said the government security source, who is familiar with the case but spoke on condition of anonymity.
"We are now interrogating him to see if there is any local connection," he told AFP.
Sedaghatzadeh has told Malaysian authorities he is an automotive parts dealer and had travelled to Malaysia, Thailand, and elsewhere in the region on business, the source said.
Thailand has said it would seek Sedaghatzadeh's extradition, but the security source said Malaysia had yet to receive a formal request, and added that the extradition process could take several weeks.
Home Minister Hishammuddin Hussein said the extradition process depended on the Thai authorities' request and Malaysia was "prepared to cooperate fully in the situation," according to the national news agency Bernama.
The Iranian is currently being held for unspecified immigration offences.
Police obtained a court order on Thursday to hold him for up to two weeks, the security source said.
The Bangkok bomb incident -- the third to shake world capitals in less than 24 hours -- occurred when an apparently unintended explosion at a house exposed what Thai police say was a plot aimed at Israeli diplomats.
That has prompted Israeli accusations that Iran was behind a terror campaign, which Tehran has denied.
One of the suspects was in hospital after his legs were blown off when he tried to hurl an explosive device at Thai police while fleeing the house. The other Iranian suspect was detained trying to board a flight out of Thailand.