Wallace Hartley became part of the ship's legend after he and his band continued to play as the vessel sank into the cold waters of the Atlantic.
It was said the band were heard playing the moving hymn Nearer My God To Thee.
Hartley and his seven fellow band members all died in the 1912 tragedy, in which 1,500 people were killed after the ship hit an iceberg.
His violin, which had been a gift from his fiancée Maria Robinson, was apparently found in a case strapped to his body when it was recovered.
Its re-emergence in 2006, when it was reportedly discovered in an attic in Yorkshire, prompted heated debate over its authenticity.
Titanic specialist auctioneers Henry Aldridge and Son insist nearly seven subsequent years of research and tests have proved it to be the genuine article.
The violin accompanied by a leather luggage case initialled W.H.H. went under the hammer at the public auction in Devizes, Wiltshire.
The violin had a reserve price of between £200,000 and £300,000 and was expected to reach as much as £400,000.
However, when it sold for nearly £1m there was shock in the auction room, which was packed to standing room only.
The violin was the most iconic item we have seen and there were some very, very wealthy people bidding.
Auctioneer Alan Aldridge
There was tension in the room as principal auctioneer Alan Aldridge, started the bidding at just £50 for the violin.
There were laughs from the audience but Mr Aldridge revealed that he was starting it that low so that two of his friends could bid.
Within a couple of minutes bidding had broken £100,000 and had soon passed the world record for a Titanic artefact of £220,000, as the competition between four telephone bidders hotted up.
There were gasps from the audience as the price reached £350,000 and then raced to £600,000.
The room fell silent when bidding hit £750,000.
The violin eventually sold for £900,000 after fierce bidding between two telephone bidders.
The entire sale took just 10 minutes.
Alan Aldridge said that with the buyer's premium and VAT, the price would top £1m, which he did not think would be broken.
He said: "I don't think this price will ever be beaten."
Mr Aldridge said there had been some strong bidding from both British and US collectors but would not reveal who had won.
"It was an anonymous bidder," he said.
"£900,000 for a violin? Absolutely incredible.
Historian Peter Boyd-Smith
The previous record sale for a Titanic artefact was a 22-foot plan of the Titanic used in the inquiry into the sinking.
It sold for more than £220,000.
The violin was exhibited at the Titanic Belfast building earlier this year.
Peter Boyd-Smith, a Titanic historian and seller of the ship's memorabilia, said he believed the violin had been bought by a British collector.
"I have been to many, many auctions but I have never seen one like this," he said.
"It's staying in the UK and I think it is a private collector - not too sure.
"It's a world record for a Titanic artefact. The only other items that are probably worth that kind of money are the items salvaged from RMS Titanic if they are ever put up for sale and those are in the exhibitions that go around America and Europe.
"It may never get beaten."