Shelton/Tiafoe won the match after two straight tiebreaks: 7-6, 7-6, giving the aggregate score 13-2.
It was Team World's second straight victory after Europe won the first four tournaments.
"It's an incredible moment. And to be able to do it again, it's incredibly fun. Now it's time to celebrate," Frances Tiafoe said after the game.
Borg: "Won't beat us as easily next year"
Norwegian Casper Ruud was the only player to manage to win for Team Europe, which was missing players like Novak Djokovic and Carlos Alcaraz.
At the start of the second set, Frances Tiafoe almost ended up in the lap of European captain Bjorn Borg but managed to stop just before.
"Don't think you're going to beat us as easily next year," Borg said after the game.