This is Haneke's second Golden Palm, after also picking up the award three years ago, for White Ribbon.
Amour tells the story of a devoted elderly husband caring for his dying wife.
From its screening near the start of the festival, it was touted as being a safe bet for a prize.
The stars of Amour, veteran French actor 81-year-old Jean-Louis Trintigant and 85-year-old Emmanuelle Riva, joined Haneke on stage as he received his award.
After the Golden Palm, the runner-up Grand Prix award went to Reality, a tragi-comedy by Italian director Matteo Garrone, whose previous film Gommorra reportedly won him death threats from the mafia.
Reality stars a former mafia hitman Anielo Arena who is currently serving a jail sentence, but who goes mad while desperately trying to become a reality TV star.
It's a film which pays hommage to a number of major Italian directors, including Fellini.
The British film director Ken Loach has also won another award at the 65th Cannes Film Festival after breaking the record for the number of films selected from one film maker.
His film, The Angel's Share is about a young petty criminal in Glasgow in Scotland who discovers a life-changing talent for whisky-tasting.
The actor Paul Brannigan was himself down-and-out when found by Loach's screenwriter Paul Laverty.
This is 75-year-old Loach's eleventh Cannes competiton after his first entry with Kes in 1970. He already won Golden palm in 2006 for The Wind that shakes the Barley a film about the Irish war of Independence at the beginning of the 20th century.
The Danish actor Mads Mikkelsen won the award for best actor for his role in Thomas Vinterberg's psychological thriller The Hunt.
46-year-old Mikkelsen plays a man whose life falls apart after he is falsely accused of molesting a child in a small community in Denmark.
He said he was taken aback when he heard he had won the prize.
The prize for best actress was jointly awarded to Cristina Flutur and Cosimina Stratan for Beyond the Hills by Romanian director Critian Mungui.