The 19-year-old Italian driver became the second-youngest race winner in the sport's history after four-time world champion Max Verstappen, who took his first victory with Red Bull at 18 in 2016.
Lewis Hamilton finished a distant third, the seven-time world champion's first podium since he joined Ferrari last year and first since Las Vegas 2024, with teammate Charles Leclerc fourth after a lively battle between the two.
McLaren's reigning world champion Lando Norris and teammate Oscar Piastri both failed to start due to problems with their cars.
"Thank you everyone. Thank you so much. You made me achieve one of my dreams," said Antonelli over the radio after taking the chequered flag.
"I’m speechless. I’m about to cry to be honest," he said in his first interview as a winner in front of the Shanghai circuit crowd, before doing just that.
Nervous last three laps
It was a nervous finish for the Italian, who locked up and went wide with three laps to go, cutting his lead over Russell to 7.4 seconds and finishing 5.515 clear.
It was Mercedes' second successive one-two in two races after Russell led Antonelli in the Australian opener last weekend.
Russell, who won the Saturday sprint with Antonelli fifth, saw his championship lead cut to four points from 11, with the Briton on 51 to Antonelli's 47 with Leclerc third on 34 and Hamilton 33.
"I gave myself a little bit of a heart attack towards the end with the flat spot (on his tyres)," said Antonelli, the first Italian winner since Giancarlo Fisichella for Renault in Malaysia in 2006. "It was a good race."
Formula 1 chief executive Stefano Domenicali, also Italian, congratulated Antonelli before the podium celebrations and the playing of the Italian national anthem.
Oliver Bearman was fifth for Haas ahead of Alpine's Pierre Gasly and Racing Bulls' Liam Lawson.
Isack Hadjar took eighth for Red Bull, after teammate Verstappen retired from the race, with Carlos Sainz ninth for Williams and Franco Colapinto finally back in the points for Alpine in 10th after failing to score last year.
Four cars out before the start
The race started with just 18 cars and both McLarens in the team garages.
Norris's problem was detected well before the start but Australian Piastri, who has yet to complete a race lap this season after crashing on his way to the grid in Melbourne, was wheeled off.
"It's been a while since I've watched two grands prix on TV," he said.
Russell had started second after a problem in the final phase of qualifying reduced his ability to fight for pole, and he also had to fight back after an early safety car period left him second in the queue for fresh tyres at Mercedes.
Antonelli had lost out to the fast-starting Ferraris, with Hamilton leading Leclerc, but the Italian was back in front by the end of lap two.
He ended the race with the fastest lap, the cherry on the cake after pole position and the victory.
Aston Martin's Lance Stroll triggered the safety car when he stopped on track and teammate Fernando Alonso also retired due to vibrations in the car from the Honda power unit that left the Spaniard losing sensation in his hands.
With Mercedes heading for a one-two, the Ferrari drivers waged an entertaining battle with frequent swaps of the lead and wheel-to-wheel tussles.
"That is actually quite a fun battle," said Leclerc over the radio before Hamilton managed to put some distance between them.
Hamilton agreed: "It was one of the most enjoyable races I've had for a very long time," said the Briton.