Copenhagen police inspector Jens Moller Jensen told reporters that divers had found bags containing her missing clothes, her head and legs in Koge Bay, south of the Danish capital.
"Last night our forensic dentist confirmed that it was Kim Wall's head," he said.
Her headless torso was found floating in waters off Copenhagen on August 21st, 11 days after she went missing.
Self-taught engineer and inventor Peter Madsen, 46, has been accused of Wall's death, with prosecutors saying he dismembered her body before throwing it overboard.
Madsen, who is married and has been in custody since August 11th, claims Wall died when a 70-kilo (154-pound) hatch door fell on her head, and in a panic, he threw her body overboard.
He has insisted her body was intact at the time.
But Jensen said the decapitated head contradicted Madsen's version of events.
There is "no sign of fracture on the skull and there isn't any sign of other blunt violence to the skull," he said, citing an autopsy carried out overnight.
Locating Wall's head has been a priority for investigators, as the final autopsy on the torso was not able to establish the cause of death.
However, it did show multiple mutilation wounds to Wall's genitals.
Prosecutors believe Madsen killed 30-year-old Wall as part of a sexual fantasy, then dismembered and mutilated her body.
Earlier this week, prosecutor Jakob Buch-Jepsen told a court custody hearing that a hard disk found in Madsen's workshop contained fetish films in which real women were tortured, decapitated and burned.
"This hard drive doesn't belong to me," Madsen insisted, saying numerous people had access to his workshop.
Madsen has insisted there was no sexual relationship between him and Wall, and their that contacts had been purely professional.
Jensen said the divers on Friday found the clothes and body parts in bags weighed down with metal pieces. Her torso had also been weighed down when it was found, also in Koge Bay.
"Yesterday morning we found a bag within which we found Kim Wall's clothes, underwear, stockings, and shoes. In the same bag laid a knife, and there were some lead pipes to weigh the bag down," he said.
"Around dinnertime we found one leg, and then another leg. And then we found a head that also laid in a bag, and was weighed down with multiple metal pieces."
Jensen said police would continue to search for her arms.
Link to Japanese tourist?
Police have previously said they were re-examining the unresolved case of a Japanese tourist whose mutilated body was found in a Copenhagen harbour in 1986, to see if there was any possible link to the Wall case.
Kazuko Toyonaga, a 22-year-old student, was on vacation in Europe when she disappeared. Her legs were found in a plastic bag floating in the waters off Islands Brygge, a harbour in Copenhagen.
Wall worked as a freelance journalist based in New York and China, and her articles were published in The Guardian, The New York Times and others.
At the time of her disappearance, she was believed to be working on a feature story about Madsen, an eccentric, well-known figure in Denmark.
Madsen has successfully launched rockets with the aim of developing private space travel.
His homemade submarine Nautilus, launched in 2008, was the biggest private sub ever made when he built it with help from a group of volunteers.
But the group became engaged in a long-running dispute over the Nautilus, before members of the board decided to transfer the vessel's ownership to Madsen, according to the sub's website.
In 2015, Madsen sent a text message to two members of the board claiming:
"There is a curse on Nautilus".
"That curse is me. There will never be peace on Nautilus as long as I exist," Madsen wrote, according to the volunteers.
Madsen's lawyer Bertina Hald Engmark was tightlipped after the discovery.
"I've been informed of the find, but I haven't received any material yet. Our society is governed by rule of law, and the case and any evidence will be judged by a court of law when the time comes, if charges are pressed," she told Swedish news agency TT.
By Ethan Bilby