The world number two now has two Grand Slams to his name following his triumph at last year's US Open.
Both players were involved in a number of gruelling baseline rallies during the opening set and exchanged breaks before Murray broke for a second time to take it 6-4 with an hour played.
Djokovic looked to have found his rhythm during the second and won three straight games on his way to opening up a 4-1 lead in confident style.
However, the momentum was soon shifting Murray's way as he fought back to 4-4 before breaking again and closing out the set 7-5.
The Scot looked on course for the title with an early break in the third, but Djokovic then reeled off four consecutive games.
With the Serb in the ascendancy like in the previous set, Murray clawed his way back to 4-4 before a final break saw him eventually serve out the match 6-4 to the delight of the Centre Court crowd.