"When I was asked, during the campaign, if I would do it once you become president, I would say +yes, it is you who decide what is the capital of Israel, not other nations+", -he said to the daily.
Asuncion has since backtracked by announcing the return of its embassy to Tel Aviv.
Moro is a hero to many Brazilians for his unrelenting "Car Wash" investigation, which uncovered the large-scale looting of state oil company Petrobras.
The United States and Guatemala have already decided similar Jerusalem moves.
President-elect Jair Bolsonaro Brazil says he plans to transfer his country's embassy from Tel Aviv to occupied Jerusalem, joining the United States and Guatemala to take the controversial step, condemned widely around the world.
Bolsonaro, 63, who won a runoff election on Sunday, has outraged many with his overtly misogynistic and racist rhetoric.More news: Cohen: trump often made racist statements
Moro said it would be hard to give up being a federal judge after 22 years, but he saw an opportunity to "implement a strong agenda of anti-corruption and anti-organized crime" in his new role.
John Bolton, Trump's national security adviser, said Bolsonaro and the US president were "like-minded" individuals.
"It is very unfortunate that Brazil has joined this negative alliance against worldwide law", she said, referring to a small number of countries supporting the U.S. decision, which sparked fury among Palestinians.
Trump moved the US embassy in Israel to Jerusalem earlier this year, a controversial decision that showed the world the USA believes Jerusalem is Israel's capital despite Palestine also claiming the ancient city as its capital.
Moro's entry into Bolsonaro's cabinet revealed that he had acted out of political motives, Lula and Haddad's Workers' Party (PT) said.
In a statement, Arab League Secretary-General Ahmed Abul-Gheit said that Arabs had been "alarmed" by remarks attributed to Bolsonaro regarding his stated intention to relocate the embassy from Tel Aviv to Jerusalem.
An official in Netanyahu's office told AFP the premier was "very likely" to attend Bolsonaro's inauguration ceremony in January.