Tsitsipas rallied to beat Dominic Thiem 6-7 (6), 6-2, 7-6 (4) on Sunday for the biggest title of his career, becoming the youngest champion at the season-ending event in 18 years.
The Austrian fifth seed saw off the big-serving German 7-5, 6-3 after Greece's Tsitsipas, making his debut at the tournament, had earlier beaten Federer 6-3, 6-4.
Rafael Nadal is leaving the ATP Finals with a big trophy, even though he failed again to secure the title at the elite tournament.
The Serbian upped his game at the start of the second set but Federer saved the one break point he faced and broke twice to canter to victory.
Both players were under intense pressure after losing their opening round-robin matches in Group Andre Agassi ahead of the match at London's O2 Arena.
Thiem broke his opponent at the first opportunity in the second set and, with Djokovic's error count climbing, went on to level the match.
The Spanish top seed, who has never won the season-ending event, came into the tournament at London's O2 Arena under an injury cloud and was well short of his imperious best.
Six-time champion Federer was beaten 7-5, 7-5 in the evening match on the opening day after Djokovic had swatted aside debutant Matteo Berrettini in the earlier Group Bjorn Borg contest in London.
The Spaniard, who has never won the ATP Finals despite his trophy-laden career, dethroned Djokovic from the top of the rankings this week.
Their group clash in London will only be the best of three sets -- Austria's two-time French Open finalist Dominic Thiem and Italian Matteo Berrettini make up the quartet.
Grigor Dimitrov set his sights on winning his first Grand Slam after his dramatic victory at the ATP Finals on Sunday.
Kontinen and Peers brushed aside top seeds Kubot and Melo 6-4, 6-2 to retain their ATP Finals doubles crown.
Grigor Dimitrov beat David Goffin 7-5, 4-6, 6-3 to become the first debutant to win the season finale since 1998.
Roger Federer says he can't wait to get back on court in Australia after a shocking defeat at the hands of David Goffin.
David Goffin shocked overwhelming favourite Roger Federer on Saturday in the last four of the ATP Finals.