The 4x100m Olympic bronze medallist at Paris 2024 crossed the line in 6.49 seconds to break Richard Kilty’s long-standing British record, with Australia's Lachlan Kennedy clocking 6.50 and South Africa's Akani Simbine completing the top three in 6.54.
Azu stormed out of the blocks to beat Kennedy on the line and roared in delight when his name appeared on the jumbo screens after the Australian's name was initially shown first.
It has been a stunning start to the year for the 23-year-old Welshman who remains unbeaten over the distance after retaining his British indoor title in February, before winning the European crown in Apeldoorn two weeks later.
"It’s unbelievable. I got a bit emotional, but I’m going to try keep those emotions in," he said. "When you hear those words put together (European and World indoor champion) it really hits a place.
"I’m so grateful for my team believing in me, it has allowed me to stand here, allowed me to come out victorious.
"As an athlete belief is everything. Confidence is everything. Anyone could have had it today, it was so close, but that little bit of edge that the team and the confidence we have in each other is allowing me to get my neck just in front.
"When you are working with such fine margins it is so important."
The joy was also etched on the face of Simbine who won his first global individual medal after finishing outside the top three over 100m in all of the last six global championships, including at Rio 2016, Tokyo 2020 and Paris 2024.
"This is my first indoor championship ever in my life. Coming in, running and getting a medal, I cannot ask for anything more," the 31-year-old said. "I came with no expectations, only trying to see how far I can get in this run."
Hunter Bell, Anning and Gourley through to finals
Azu's win capped a thrilling evening inside the Nanjing Cube for Great Britain.
It began with Georgia Hunter Bell who put her recent European indoor championship woes behind her to reach Sunday's 1500m world final in style.
The 31-year-old was in medal contention in Apeldoorn but faded on the final lap after struggling with an ear infection and finished fourth behind teammate Revee Walcott-Nolan.
However inside a bustling arena on the banks of the Yangtze River, Hunter Bell took the lead with two laps to go and didn't let slip, storming past the finishing line ahead of Australia's Georgia Griffith to qualify first in a time of 4:09.21.
"I think being an athlete is all about coming back when things go wrong," she explained. "I've had a really good two weeks (training in Dubai) and it’s just about being mentally strong.
"I was definitely pretty upset (after the Europeans), definitely the toughest step so far in my career. I know that there will be tough times but that was my first really big one.
"(Today) is just about getting through safely and qualifying for Sunday. I’m really happy. I can actually hear out of left ear, which is nice!"
Hunter Bell will be the sole British representative in the final after Walcott-Nolan struggled to chase down the leading pack in her heat and agonisingly crossed the line fifth, later admitting that she is "gutted" to miss out.
"I don’t know how to describe that," she explained. "I got clipped, lost contact with the group and I just couldn’t bring it back which is really disappointing.
"I am in a lot better shape than that. I knew it would be tough to make the final today, but I’m really gutted that I didn’t.
"Preparations have gone really well, the last couple of weeks have been solid, I’ve been in a really good mindset so to not pull it out of bag today is disappointing."
In the men's 1500m Neil Gourley booked his place in Sunday's final by crossing the line first in a time of 3:36.60, but teammate Adam Fogg missed out, despite looking assured at the halfway point, as he crossed the line sixth.
Fogg later said that despite "running all-out" in a bid to catch-up with the leaders he felt that he was "going backwards".
Gourley will face stiff competition from Norway's Jakob Ingebrigtsen who breezed around the final lap in his heat as he bids to make history in China.
The double Olympic and world champion has never won a world indoor title and is competing in both the 1500m and 3000m in Nanjing.
Should the middle distance star top the podium in both events he will emulate the achievement of Haile Gebrselassie who was the last man to win the same indoor double in 1999.
Elsewhere Amber Anning reached the final of the women's 400m on Saturday with a commanding 50.79, the quickest time across all the heats, as she bids for her maiden world title.
"It felt good, it felt smooth," she explained. "I wanted to run a 50-point to set me up nicely for the final tomorrow and get me a good lane so it felt really smooth and the track feels fast.
"I’ve prayed a lot, worked with the coach and put my head down and trained hard for this."