Sabalenka recorded her tour-leading 31st victory this season on the Madrid clay, adding the WTA 1000 trophy to titles in Brisbane and Miami.
The fourth-seeded Djokovic suffered a second consecutive opening defeat, after losing his opener against Alejandro Tabilo in Monte Carlo two weeks ago.
Iga Swiatek admits the strict doping protocols can be stressful for players but feels like she has "been through the worst" after surviving her positive test over contaminated melatonin.
The 38-year-old Spaniard, winner of 22 Grand Slam trophies, including 14 at Roland Garros, retired from the sport after his final match at the Davis Cup in Malaga in November.
The top-seeded Zverev, appearing in his first final since losing to Jannik Sinner in the Australian Open title decider in January, had little trouble dealing with Shelton, ranked 15 in the world.
The fifth-ranked Djokovic struggled to find his rhythm in a 6-3, 6-4 loss to Chilean Alejandro Tabilo in the second round, making an inauspicious start to his clay season.
The 19-year-old said that he had filled out his withdrawal form ahead of his match with Spaniard Roberto Bautista Agut and went to the referee's room -- but the official was out for lunch.
The Spaniard world number three, speaking ahead of the Miami Open, said he had not been given any notice of the legal case from the Professional Tennis Players' Association (PTPA) or the strongly-worded statement issued on Tuesday.
A four-time Grand Slam champion, Alcaraz said he was too focused on what weapons British left-hander Jack Draper might bring and unable to calm the pre-match jitters that prevented him from rising to the occasion.
Djokovic's bid for a record-extending 41st Masters 1000 title was ended in just over an hour by Chilean Tabilo, who is ranked 32nd in the world but was hugely impressive and claimed his first win over a top-10 opponent.
Defeat to seventh seed Hurkacz casts doubt over whether clay-court icon Nadal will play at the upcoming French Open, where he has won a record 14 titles.
"I have Roland Garros in just two weeks and a half... I need to prove myself if I am able to push my body to the limit, I need to push to feel myself ready for what's coming," Nadal told reporters.
The 22-time Grand Slam singles champion has recently returned to the circuit after a long absence due to injury.
Rublev, who takes the Madrid crown from double champion Carlos Alcaraz whom he beat in the quarter-finals, said he had played despite feeling ill at times this week and hailed his doctors for helping him through.
Coming back from 1-3 down in the decider and saving three match points in total, Swiatek claimed a 7-5, 4-6, 7-6 (9/7) victory to secure the Madrid Open trophy for the first time.
Rublev upset home favourite Alcaraz 4-6, 6-3, 6-2 to reach the semi-finals.
Spaniard Carlos Alcaraz says he will form a dream team with his legendary compatriot Rafael Nadal in the men's doubles at the Paris Olympics later this year "if everything goes well."
On the women's side, Iga Swiatek was made to sweat in her 4-6, 6-0, 6-2 victory over Brazilian lefty Beatriz Haddad Maia, as she dropped her first set of the tournament and needed two and a half hours to reach a second consecutive Madrid semi-final.
"Now I'm enjoying. Let's see how I wake up tomorrow. Playing at home means everything to me, just try my best to keep dreaming."
