Just a few warning: It's entirely possible I missed something obvious, it was a big war. Also, exact reliable casualty numbers for a lot of these battles are impossible to find, so sources may disagree on the exact numbers.

That said the answer to this is going to depend very much on what you define at a "Battle". I've been able to come up with a couple of decent options, depending on how liberal your definition is:

1. The "Battle of France" - The German invasion in 1940 eventually resulted in France surrendering. Part of the Armistice agreement was that French soldiers would remain prisoners of war. So that's about 1.5 million French soldiers, plus whatever the British and Low Countries contributed.

Then there are a number of "Battles" in the 500,000+ range.
2) The Battle of Moscow - The opening stages of the Battle of Moscow saw the encirclement and capture of 500,000-700,000 Soviet troops in the Vyazma and Bryansk pockets. Casualty numbers for this battle are a mess (beyond the normal east-front issues no one seems to agree on exactly when this battle started or ended), but this number might be supplemented by additional Soviet and German POWs from later parts of the battle. Or you could just take the Vyazma pocket on its own which was the bulk of the number I mentioned above.
3) The Battle of Kiev (the 1941 version) - One of the biggest encirclement in the opening stages of Operation Barbarossa. Again, about 700,000 POWs captured, but IMO this one is the first that doesn't really push the meaning of "battle".
4) The Battle of Berlin - The fall of the city eventually saw about 500,000 Germans captured. Some of these may have been from the capitulation of Germany a whole.