Shaheen conceded defeat about 10:30 p.m. Tuesday after returns showed her losing 52 to 46 percent with 63 percent of the precincts counted.
"What a great night. What a great victory," Sununu said in his acceptance speech after receiving a phone call from Shaheen.
"This is your victory," he said to cheering supporters at his campaign headquarters in Manchester.
"We are so fortunate that campaigning in New Hampshire isn't just about money," said Sununu, the son of the first President Bush's White House chief of staff and former New Hampshire Gov. John H. Sununu.
"I called John Sununu and congratulated him on his victory," Shaheen said. "I wish him well in the days ahead. It's important for all of us in the future to work together."
Pre-election polls had the two running neck and neck.
Sununu, a three-term U.S. representative, will be filling the seat held by Republican U.S. Sen. Bob Smith.
Sununu, challenging a sitting member of his own party, defeated Smith in the September primary.
During the campaign, Shaheen, a three-term governor, cast herself as a moderate Democrat willing to side with President Bush on national security and tax cuts.
Sununu cast himself as a modern conservative who also backed the president's agenda.