The 26-year-old opened her account in the Russian Olympic host city with a dominant victory in the 3000m on Thursday, winning by 2.37 seconds ahead of Martina Sablikova of the Czech Republic.
Wust then turned her attentions to the 1500m in Sochi and her margin of victory was even bigger as she beat Dutch team-mate Lotte van Beek by 2.64 after clocking a time of 1:55.38.
Defending champion Christine Nesbitt had to make do with bronze another 0.05 behind while Sven Kramer made it a Dutch double with the defence of his men's 5000m title.
Kramer, who like Wust won both the European and world allround titles this year, was an even bigger winner than his Dutch teammate after posting a time of 6:14.41.
That gave him victory by 3.53 ahead of another Dutch skater Jorrit Bergsma while Russian Ivan Skobrev completed the podium ahead of Denis Yuskov with 6:18.31.
Denis Kuzin won Kazakhstan's first major title with gold in the men’s 1000m, clocking 1:09.14 to defeat Olympic 500m champion Mo Tae-Bum by a tenth of a second.
American Shani Davis took bronze to add to his silver from the 1500m on Thursday and Kuzin, who broke his shoulder last summer, hailed a victory against all odds.
"I wanted to resign before this season," said Kuzin. "After surgery I was told I have no chance of coming back into sports but I began to work and reached my goal.
"I will come back to Sochi next year, hoping to win again."