The match was for the WBC, WBA and IBO middleweight world titles.
Alvarez, who is from Mexico, upped his record to 50-1-2. Golovkin, from Kazakhstan, is now 38-1-1.
This time around Alvarez won in a very close decision. Two judges scored the fight 115-113, while a third scored it 114-114.
“He’s a great fighter but the difference is in your opponents. I’m an elite fighter and I showed it tonight,” Alvarez said in an in-ring interview with HBO’s Max Kellerman.
Golovkin left the ring without giving an interview.
Several athletes reacted to Saturday’s decision on social media.
Basketball superstar LeBron James tweeted, “One of the best fights I’ve ever seen!! Ultimate competitors in Canelo GGGBoxing!! Salute to the both of you. Could watch y’all fight any day.”
A year ago, Alvarez and Golovkin entered the ring with only one loss between them in 88 fights.
The two middleweights fought a close battle last September that saw a controversial decision. Golovkin landed more punches and many ringside commentators thought he won the fight but the result was a split draw.
Critics derisively pointed to a judge that ruled Golovkin won just two rounds of 12.
“Sometimes you have a bad day,” Bob Bennett, the executive director of the Nevada State Athletic Commission, said after that fight while noting the judge had scored 115 big matches before.
Oscar De La Hoya, who is Alvarez’s promoter, told CNN this week: “It was ridiculous to say the least.”
De La Hoya said he was happy with the judges who were selected for Saturday’s fight.
The rematch was supposed to be May 5 but had to wait while Alvarez sat out a six-month suspension after a positive test for a banned substance.
There were histrionics at the weigh-in this week and the two fighters were kept from throwing blows.
“I have never seen Canelo act this way. He really dislikes Triple G,” De La Hoya said. “He doesn’t respect him.”
Earlier this week, De La Hoya told reporters that he would consider running for president.
The legendary American boxer retired in 2009 and has become an entrepreneur. He founded Golden Boy Promotions, which represents Canelo and others including Francisco Vargas, Jorge Linares and Lucas Matthysse.