The 34-year-old Kazakh, with a record of 37-0, failed to stop his opponent for the first time since 2008 as he was taken the distance.
Nonetheless Golovkin sent Jacobs to the canvas in round four with two rapid-fire overhand rights on his way to a 115-112, 115-112, 114-113 victory on the judges' scorecards.
After the bout, Golovkin told reporters: "I couldn't destroy him. He is a very clean, very good fighter. It is my first test for 12 rounds. This is sport. I am a boxer, I am not a killer. I respect his game."
Golovkin had won 33 of his previous 36 fights by knockout as his 23-fight knockout streak, which dated back nine years, came to a halt.