The 34-year-old's eye-catching display featured two assists and was worthy of his rare appearance at one of football's great cathedrals.
Thrown into the air by his jubilant team-mates after the final whistle, Messi said, "Today was a nice test because Italy are a great team. We knew it was going to be a nice game and a nice setting in which to be champions.
"It was a beautiful final, full of Argentine. What we experienced here was beautiful."
It was another memorable moment for Argentina, who have qualified for this year's World Cup as they extend the golden afterglow from the victory over Brazil that ended their 28-year wait to win the Copa America in 2021.
Argentina were already established as one of the leading contenders to win the World Cup and defeating Italy was another statement of intent from La Albiceleste, who are now unbeaten in 32 matches.
If Messi can play at this level in Qatar, Lionel Scaloni's side will be a force to be reckoned with as they chase a first World Cup title since 1986.
"Everything changed after the Copa America. Now we are enjoying ourselves and things are happening much more easily. We are excited but must keep our feet on the ground," Di Maria said.
For Italy, it was a disappointing return to Wembley 11 months after they beat England on penalties in the Euro 2020 final.
Roberto Mancini's team have gone into a steep decline since that triumph.
They failed to qualify for the World Cup after suffering a humiliating loss to North Macedonia in their play-off semi-final.
After the World Cup failure, Mancini is transitioning to a younger generation, with the forthcoming Nations League matches against Germany, England and Hungary his real focus.
Mancini's overhaul effectively started at half-time when Italy said farewell to 117-cap skipper Giorgio Chiellini, who was substituted in his final game before international retirement.
"They were better than us. We were in the game in the first half but didn't do enough to turn it around after the break," Mancini said.
This was only the third Finalissima contest between the respective champions of Europe and South America and the first since Diego Maradona's Argentina beat Denmark in 1993.
Fittingly, Messi -- the heir to the legendary Maradona -- used the occasion to remind the world of his astonishing talents.
The 87,000 sell-out crowd created a colourful backdrop for Messi's mastery, with Argentina's raucous fans turning the north London suburb of Brent into Buenos Aires for one ear-splitting evening.
Every touch from Messi lifted the decibel levels and he played a key role as Argentina took the lead in the 28th minute.
Messi worked his magic on the touchline, showing tremendous strength to hold off Giovanni Di Lorenzo before unfurling a precise low cross to Martinez, who applied the finishing touch from close-range.
In first half stoppage-time, Martinez drove forward with bullish tenacity and slipped a perfectly weighted pass to Di Maria, with the PSG forward clipping a cool finish over Donnarumma.
Di Maria almost struck again on the hour, but his curler was brilliantly tipped over by Donnarumma as it fizzed towards the far corner.
Messi was unstoppable, robbing Jorginho and embarking on a mesmerising run that finished with a save from Donnarumma.
Messi's name echoed around the stands as Argentina's fans paid tribute to their idol's latest masterpiece.
Dybala's clinical strike in stoppage-time came via a deft Messi pass as the maestro provided one final flourish.