Ms Murad is an Iraqi Yazidi who was tortured and raped by Islamic State militants and later became the face of a campaign to free the Yazidi people.
Dr Mukwege is a Congolese gynaecologist who, along with his colleagues, has treated tens of thousands of victims.
Some 331 individuals and organisations were nominated for the prestigious peace award this year.
The winners announced in the Norwegian capital Oslo on Friday won the award for their “efforts to end the use of sexual violence as a weapon of war”, Berit Reiss-Andersen, the Nobel committee chair, said.
The pair both made a “crucial contribution to focusing attention on, and combating, such war crimes”, Ms Reiss-Andersen added.