The closure of the popular tabloid, which mixes pro-democracy views with celebrity gossip and investigations of those in power, marks the end of an era for media freedom in the Chinese-ruled city, critics say.
"Thank you to all readers, subscribers, ad clients and Hong Kongers for 26 years of immense love and support. Here we say goodbye, take care of yourselves," the paper said in an online article.
Hundreds of supporters gathered outside Apple Daily's building on Wednesday night to show support, sometimes in heavy rain, and waved smartphone lights.
Journalists came out onto the balcony and responded with their own phones.
The last front page carried a photograph of a member of staff waving at supporters, with the headline "Hong Kongers bid a painful farewell in the rain."
A Reuters reporter present in the Apple Daily newsroom saw dozens of journalists break into applause once the final edition was sent to press, and some in tears.
Reporter Alvin Chan went outside to distribute free copies to the supporters, saying: "I hope everyone can ... continue to believe in our values.
"The paper, whose online version will also stop updating, said it was printing a million copies of its last edition - more than 10 times its normal print run.
Shortly after midnight, some news stands waiting for delivery already had hundreds of people queueing.