The International Olympic Committee (IOC) voted for Italy's joint bid ahead of Stockholm, Sweden.
Skating sports and ice hockey will be held in Milan, while most alpine skiing events will take place in the resort of Cortina.
Other snow sports will be held in other venues in the Italian Alps, including Bormio and Livigno.
The 2026 Winter Olympics will take place from 6 to 22 February and the 2026 Winter Paralympics will be held from 6 to 15 March.
Cortina previously hosted the Winter Olympics in 1956, while Turin staged the 2006 edition of the Games.
There were only two candidates left after four other bidders - the Swiss city of Sion, Japan's Sapporo, Graz in Austria and the Canadian city Calgary, which hosted in 1988 - had earlier dropped out of the race with concerns over the event's size and cost.
The results showed Milan-Cortina had received 47 out of the 82 votes cast.
Sweden has never hosted a Winter Games before and the wait goes on after its Stockholm-Are bid - based around the capital and its largest ski resort, but also including Latvian city Sigulda - received 34 votes. There was one abstention/blank vote.
IOC president Thomas Bach said: "Congratulations to Milan-Cortina. We can look forward to an outstanding and sustainable Olympic Winter Games in a traditional winter sports country.
"The passion and knowledge of Italian fans, together with experienced venue operators, will create the perfect atmosphere for the best athletes in the world."
Delighted members of the winning delegation shouted "Italia, Italia" as the decision was announced.