Alvarez was rarely troubled as his opponent, the current undisputed middleweight champion, struggled to match the energy and work rate of the title holder, who defeated Golovkin for the second time in three meetings.
"Thank you for everything, thank you Golovkin," said Alvarez. "We gave the fans three good fights.
"I've gone through some very difficult things in my life and the only thing you can do is try to continue and move forward.
"He's a really good fighter. I know he's strong, he's a great fighter and that's why we're here and I'm glad to share the ring with him.
"I'm going to keep going forward, to keep my legacy going strong."
The pair previously fought in the same T-Mobile Arena for the middleweight title in 2017 and 2018, with a draw controversially declared in the first fight before Alvarez won the second on a split decision.
But this contest bore few of the hallmarks of either of those absorbing encounters, with Alvarez controlling the centre of the ring for the majority of the fight and dominating with his faster hand speed.
The win was the perfect return to form for the 32-year-old after losing for only the second time in his career in his previous fight, when he was defeated by WBA light heavyweight champion Dmitry Bivol in May.
Golovkin was second-best throughout the first two-thirds of the fight before he finally came to life in the ninth round, rattling the champion with a left hook and increasing his output.
The Kazakh, however, had left himself far too much to do and Alvarez retained his titles with a 116-112, 115-113 and 115-113 outcome on the judges' scorecards.
"Everybody knows who is Canelo, everybody knows a bad step, you lose the fight," said Golovkin.
"You lose one punch, you lose the fight. Look at his face, look at my face. We're like this because it was a high-level fight because we trained well and we did a very good quality fight.
"This fight was more tactical, like chess. Today Canelo was better."
Alvarez is now keen to step up a weight class to take on Bivol again, but wants to ensure he has recovered fully from his encounter with Golovkin before finalising a second fight with the 31-year-old.
"I've gone through some difficult things in my life and the only thing you can do is try to continue and move forward," said Alvarez.
"I've gone through difficult times recently with my defeat and I've actually shown defeats are great because it enables you to come back and show humility.
"I need surgery on my hand after this because I'm not good from my left hand. But I'm good, I'm a warrior, that's why I'm here.
He said the injury had affected him "a lot. I can't hold a glass. But I'm a warrior."
Bivol became the only fighter other than the great Floyd Mayweather Junior to defeat Alvarez when he won a unanimous decision over the Mexican when they clashed for the WBA light heavyweight title.
