David Miller had earlier hit a maiden international hundred for South Africa as they posted a challenging 262-8 from their 50 overs.
And after being reduced to 73-5 in the 21st over, the West Indies looked to be heading for a fourth straight defeat in the series before a patient 68 from Marlon Samuels and fifty from Darren Sammy gave them hope.
The tourists still needed 73 from just over 10 overs with only three wickets remaining after both were dismissed but an incredible knock from Russell which included five sixes saw them over the line.
After captain Jason Holder won the toss and elected to field first, he and Sheldon Cottrell took early South African wickets to reduce the home side to 32-3.
Holder (4-53) picked up Francois du Plessis sandwiched between two Cottrell (2-39) strikes ??? who dismissed openers Rilee Rossouw and Morne van Wyk ??? all to stunning catches, first from Sammy and latterly Denesh Ramdin.
Such a positive start wasn???t confirmed though until the in-form AB de Villiers was dismissed, inside-edging Russell through to Ramdin in the 15th over.
But JP Duminy (43) helped Miller rebuild the innings with a 90-run partnership that set the platform for a final three-over flourish from Miller.
He waited ??? perhaps too long during a boundary-less 62 balls for the Proteas ??? until he brought up his hundred before smashing 30 from his next 12 balls, including three sixes.
That set the West Indies a target of 263 to win, one that looked to be beyond them when Dwayne Smith was bowled for a duck in the first over and Duminy picked up the vital wicket of Gayle for just 10 in the sixth over.
When Jonathan Carter departed ??? to the second of two comical run-outs ??? the West Indies were 73-5 and the efforts were symptomatic of their struggles throughout a disastrous ODI series.
Samuels hung around for 93 balls and showed a great deal of maturity throughout his knock, while Sammy launched a counter-attacking 51 from 52 balls at the other end.
When Samuels left ??? bowled by Farhaan Behardien ??? three overs after Sammy skied Wayne Parnell to De Villiers in the covers, you felt the West Indies hopes of a win left with him.
But some huge sixes from Russell ??? and one from tailender Carlos Braithwaite ??? kept them up with the rate.
Both had a scare, with Braithwaite dropped by De Villiers at slip off Parnell and then Russell given out caught behind in the same over, but he reviewed the decision and was shown not to hit, so the call was reversed.
Braithwaite did fall to another silly run-out in the next over but that couldn???t stop Russell as he hit a further three sixes ??? including one to win it ??? in the next nine balls to see his side home with nine balls to spare.
The West Indies still trail 3-1 with just one to play but avoid being whitewashed in their last series before the World Cup.