The 3-6 6-1 6-2 6-4 victory meant Djokovic became the first man since Rod Laver in 1969 to be the holder of all four titles at the same time.
It was the Serb’s 12th Grand Slam victory and moved him to within five titles of Roger Federer’s record of 17.
For Murray it was the fifth time in those eight losses that he had lost out to Djokovic, with the pair first having met when Murray was just 11.
“It’s a very special moment,” said Djokovic. “Perhaps the biggest of my career.”
He had lost out in the final of the 2015 edition to Stan Wawrinka, despite having overcome Rafael Nadal in the last four.
“To Novak, this is his day,” said Murray, who was the first British man in 79 years to reach the final in Paris before finally going down in the fourth set.
“What he’s achieved the last 12 months is phenomenal, winning all four of the Grand Slams in one year is an amazing achievement and this is something that is so rare in tennis.
“It’s going to take a long time for it to happen again.
“Everyone here is extremely lucky to see it. Me personally, being on the opposite side, it sucks to lose the match but I’m proud to be part of today.”
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