Many thought after all the razzmatazz of the build-up to the first bell that the younger Joshua would overwhelm the 41-year-old Ukrainian.
That did not happen as Klitschko looked to take early control with his famous ramrod jab, Joshua struggling to land any of his power shots.
After a tactical opening four rounds, the fight burst into six minutes of action that will go down in heavyweight history with 90,000 screaming fans on the edge of their seats.
First, Joshua finally got to Klitschko, landing a series of thudding shots on his veteran opponent, who eventually fell to the canvas.
Klitschko beat the count and not only survived the round but had Joshua in huge trouble, the Olympic gold medallist and unbeaten professional staggering back to his corner after a rallying effort from the Ukrainian.
It appeared Joshua had blown himself out, having come in to this fight heavier than in any of his previous 18, and it looked all over for the Londoner after Klitschko landed a shuddering overhand right that cannoned into his temple and sent him flying to the canvas.
Somehow, Joshua dragged himself up after eight seconds and survived the resulting onslaught that followed.
Both seemed to be tiring and took a breather in the seventh, a tactic that would come back to haunt Klitschko, who should have scented victory and gone for the finish with Joshua in unchartered territory.
Klitschko’s chance to halt Joshua had seemingly come and gone as the home fighter recovered well and looked to take back command of the fight in the eighth, ninth and 10th rounds, although he had to show a good chin to absorb a right hand at the end of the 10th.
Joshua, who many thought was behind on the scorecards heading into the last two rounds, knew Klitschko had put in plenty of hard yards on his weary and ageing legs and went looking for the stoppage.
Although tired, Klitschko appeared to be taking the punishment well until Joshua detonated the punch of the fight with a right-hand uppercut that proved to be the beginning of the end for the Ukrainian, who despite somehow staying on his feet from the huge shot, was on the canvas after Joshua followed up with a sharp combination.
Klitschko gamely beat the count for the second time in the fight, and he would have to do it again moments later as Joshua refused to let him off.
With the Ukrainian on the ropes and wobbling, Joshua’s right-hand uppercut followed by another juddering hit polaxed Klitschko and surely that was that. To the amazement of the fans baying for a 19th straight Joshua stoppage win, Klitschko somehow dragged himself up for a third time in a pulsating contest.
Joshua leapt in for the kill and trapped the weary and dazed Klitschko in the corner, thudding home a series of power punches that gave referee David Fields no choice but to step in and wave the fight off.
“It was really good, I had fun,” said Joshua.
“I had 44 rounds of boxing as a professional before that fight. Now I feel like I’ve had 144 rounds of boxing.
“I can move forward now on to bigger and better things.”
Klitschko hinted he will exercise his rematch clause after the fight, while Tyson Fury and Deontay Wilder have already thrown their names into the hat for a title bout.
Hull’s Olympic golden boy Luke Campbell moved one step closer towards challenging for a world title, despite struggling for large parts of his fight against tricky Colombian opponent Darleys Perez.
Despite a sluggish performance, referee Steve Gray was forced to wave the fight off when Perez started to walk back to his corner with an arm injury in the eighth round.
Campbell’s win catapults him into a mandatory position as challenger to Jorge Linares’s WBC title, although the slick Venezuelan will not be losing too much sleep based on the performance he watched from ringside.