Djokovic closed the match by prevailing in a 13-minute game in which Murray valiantly attempted to remain alive. The championship was the 29th career masters title for Djokovic, one more than Rafael Nadal's total.
"It's been a long time that I haven't performed here in Madrid," Djokovic said in the post-match ceremony. "I honestly missed it and this year I experienced some great things on and off the court."
Djokovic cruised through the first set before Murray hit its stride. Murray, from Great Britain, used his serving advantage -- he had 10 aces to Djokovic's two -- to claim the second set and continued to put pressure on the Serbian before Djokovic closed the two-hour, six-minute match by converting his third attempt at championship point.
The victory marks the second time Djokovic has won in Madrid. He was playing in the event for the first time since 2013.
Murray was the defending champion and he was complimentary of Djokovic's efforts.
"Congratulations to Novak on a great win, there's been a lot against me in the last few years," Murray said on court. "He's doing great things."
Djokovic said, "I want to return the favor and pay respect to Andy's week. Tough luck, today. It's been a great week and I wish you all the best, obviously, for the rest of the season."