The top-ranked Serb got the big break when he needed it late in the third set and held off Murray 4-6, 6-3, 7-5 at London's O2 Arena.
"I think both of us probably see each other's games pretty well, especially this year, because we've played so much," said Murray, who beat Djokovic to win his first major title at the US Open. "But the one thing I would say is, this year I think both of us probably have seen things in each other's games probably improve, and that's why there's a lot of long rallies, and the matches are incredibly tight."
Despite the win, Djokovic still has not advanced to the semi-finals at the season-ending tournament for the top eight players in the world, playing in two groups in a round robin format.
Djokovic is now 4-3 against Murray in 2012, with his biggest win coming in a five-setter in the Australian Open semi-finals. But Murray had won two of the previous three, including in the semi-finals of the Olympics and in the US Open final - another five-setter.
Overall, Djokovic now leads the third-ranked Murray 10-7 in head-to-head meetings.
"I'd say our strengths are similar in terms of what we do well on the court," Murray said.
"Our return game has been very strong for the last few years. Our movement, as well. That's why there's a lot of normally long rallies."
Murray looked unbeatable at the start of the match yesterday, breaking Djokovic in the first game and losing only three points on his serve in the first set.
But Djokovic was able to convert break chances in each of the next two sets, and then for a third time at 5-5 in the final set and he was able to serve out the match in the next game.
Djokovic still did not have an easy time as Murray quickly earned two break points in the final game.
But a forehand smash and a service winner erased the danger before a pair of errors from Murray ended the match.
"The last two minutes of the match probably is what decided it," Murray said. "He broke from 15-40, and then I had 15-40 next game and didn't break. So that was the moment that decided the match."
Murray has had a breakthrough season this year.
He became the first British man since 1938 to reach the Wimbledon final, and soon after won the Olympic gold medal by beating Roger Federer on the same grass at the All England Club.
His biggest win, however, came in September when he became the first British man since Fred Perry in 1936 to win a major tennis title with the victory over Djokovic at the US Open.
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