The Williams sisters won the French Open and U.S. Open in 1999. Last year they won Wimbledon and gold medals in the Sydney Olympics.
"We love to play with each other," Venus said. "I can't imagine playing with anyone else. We do so well together."
The title came after both sisters were eliminated in singles by Martina Hingis. Serena was defeated in the quarterfinals and Venus endured the most lopsided loss of her career, 6-1, 6-1, in the semifinals Thursday.
"This is no consolation, because we're really singles players," Serena said. "This is just a different event."
The Grand Slam title was the eighth for Venus and the seventh for Serena, including two in mixed doubles for each player.
Their 22-match winning streak in women's doubles was snapped in a first-round loss at Sydney earlier this month to Hingis and Monica Seles. The Williamses avenged that defeat Thursday in the semifinals.
The sisters jumped to a 3-0 lead in the final, breaking Davenport's serve in the second game. Davenport lost her serve twice more in the final set, including the last game.
For their latest title, the sisters won $196,878. They were unseeded because they played together in only three tournaments last year.
Davenport and Morariu received $98,440.
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