The 20-year-old Gauff rallied back from 3-6, 1-3 down, and erased a one-break deficit twice in the decider, to overcome Zheng in three hours and four minutes – the second-longest WTA final in 2024.
By clinching the trophy, Gauff pocketed a record $4,805,000 – which is the largest ever payout at a professional, sanctioned tour event.
Zheng is just the second Asian woman, behind Li Na in 2013, to reach the singles championship match at a WTA Finals.
The Chinese star wraps up her breakthrough 2024 campaign having won 31 of her last 37 matches, and will rise to a career-high number five in the world on Monday.
Gauff had knocked out the world’s top two players, Aryna Sabalenka and Iga Swiatek, en route to the final and picked up her fourth top-eight win of the week with an impressive physical performance against Zheng.