The South African took three wickets for eight runs in his four overs and led the Deccan Chargers to a nine-run victory.
The defeat knocked the Challengers out of the play-offs as the Chennai Super Kings, the defending champions, go through with a superior run-rate after both teams finished with 17 points.
"I was up for the challenge today and it paid off," Steyn said.
"To win tonight ... a last over finish, I'm very happy we pulled it off. There were a lot of emotions coming out in that final over."
JP Duminy smashed 74 off 53 balls to lift the Chargers to 132 for seven. Steyn then removed the dangerous Chris Gayle (27) and Tillakaratne Dilshan in successive overs before clean bowling Zaheer Khan in his last over as the Challengers finished on 123 for nine.
The Chargers ended second from the bottom in the nine-team league with nine points from just four wins, 11 defeats and one no-result.
Gayle, who scored a century in the previous game against the Delhi Daredevils, gave his team another blistering start when he smashed three fours and two sixes in Manpreet Singh's first over of the innings.
However, Steyn struck twice when first Gayle played on to a short pitched delivery and Dilshan was out leg before wicket.
"In all honesty, it came off tonight. He could have hit me into the stands.
"In the previous game they got after me," Steyn said of his battle with Gayle.
Amit Mishra got two wickets in one over that reduced the Challengers to 57 for four before the stand-in captain Virat Kohli (42) and Saurabh Tiwari got the innings back on track with a 46-run stand.
Kohli hit Ashish Reddy for a straight six but needlessly tried to repeat the shot off the next delivery and was caught at long on.
Tiwari also came under pressure as the asking rate rose to more than 10 an over and he finally top edged Veer Pratap Singh in the 19th over to Kumar Sangakkara at midwicket.
"We could have played better shots, we did not play the right shots on that wicket," Kohli said. "My wicket probably changed the game. We just need to learn from our mistakes and come back stronger next year."
Dwayne Smith could be that man, just for the way he batted in tandem with the Indian legend against the Rajasthan Royals in their final group in tonight's late game.
Smith scored an unbeaten 87 and strung together an unbroken 163-run partnership – the highest in the IPL – with Tendulkar who was himself not out on 58 as Mumbai beat Rajasthan, the hosts, by 10 wickets.
Harbhajan, though, did not commit to the combination in their next match. “[Herschelle] Gibbs has done well in a few innings, [but] Smith did well today,” the captain, said at the post-match presentation ceremony.
Mumbai, already guaranteed a top-four place before tonight’s match, lost the toss and the big-hitting Australian Shane Watson top scored with 45 as the Royals reached 162 for six.
Stuart Binny struck 30, while Owais Shah and Ashok Menaria contributed 28 not out and 21 respectively, with Dhawal Kulkarni taking three for 18 to finish as the pick of Mumbai’s bowlers.
Any hopes that might be a competitive total were quickly dismissed as Tendulkar and Smith settled into their stride immediately.
Smith, once a mainstay in the West Indies team, was naturally a happy man. “It was a privilege to bat with Tendulkar. I have been opening for some time now, it was not new for me,” he said. “It is good to get some runs [as] it is crunch time in the tournament now.”
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