Shelby, the ranking Republican on the Senate Banking, Housing and Urban Affairs Committee, won re-election to a fifth term easily against Democrat William Barnes.
Shelby picked up 65 percent of the vote to Barnes's 35 percent.
Bentley, a state lawmaker, picked up 58 percent of the vote to 42 percent for Democrat nominee Ron Sparks, the state's agriculture and industries commissioner.
The Montgomery Advertiser reported Bentley, who will succeed two-term Republican Bob Riley, will become the first governor in more than 130 years with Republicans holding both houses in the state Legislature.
Bentley said Alabama faces "some tough problems," including high unemployment and budget woes.
"We're gonna make it through this," he said.