Klopp's side finished fourth in the 2017–18 Premier League, securing qualification for the Champions League for a second consecutive season. Along with the emergence of Andrew Robertson and Trent Alexander-Arnold as regular starters at fullback, Virgil van Dijk and Dejan Lovren built a strong partnership at the heart of Liverpool's defence, with the Dutchman being credited for improving Liverpool's previous defensive issues. Klopp guided Liverpool to their first UEFA Champions League final since 2007 in 2018 after a 5–1 aggregate quarter-final win against eventual Premier League champions, Manchester City and a 7–6 aggregate win over Roma in the semi-final. However, Liverpool went on to lose in the final 3–1 to Real Madrid. This was Klopp's sixth defeat in seven major finals. Despite their attacking prowess, Klopp's side had been criticised for their relatively high number of goals conceded, something which Klopp sought to improve by signing defender Virgil van Dijk in the January transfer window, for a reported fee of £75 million, a world record transfer fee for a defender. In the summer transfer window, Klopp made a number of high profile signings including midfielders Naby Keïta and Fabinho, forward Xherdan Shaqiri and goalkeeper Alisson.
Liverpool started the 2018–19 season with the best league start in the club's history, winning their first six matches. On 2 December 2018, Klopp was charged with misconduct after running onto the pitch during the Merseyside derby to celebrate Divock Origi's 96th minute winning goal with goalkeeper Alisson. Following a 2–0 win against Wolverhampton Wanderers (Wolves), Liverpool ended Christmas Day four points clear at the top of the league. A 4–0 win against Newcastle United on Boxing Day saw Klopp's side extend their lead in the league to six points at the half-way point of the season, as well as becoming only the fourth Premier League team to be unbeaten at this stage. It was Klopp's 100th win in 181 matches as Liverpool manager. Klopp's defensive additions proved to be effective as his side equalled the all-time record for the fewest goals conceded at this stage of a top-flight season, conceding just 7 goals and keeping 12 clean sheets in 19 matches. On 29 December 2018, Klopp's side thrashed Arsenal 5–1 at Anfield, extending their unbeaten home run in the league to 31 matches, matching their best such run in the competition. The result saw them move nine points clear at the top of the league, and meant Liverpool won all 8 of their matches in December. Klopp subsequently received the Premier League Manager of the Month award for December 2018. Klopp's side finished the season as runners-up to Manchester City, to whom they suffered their only league defeat of the season. Winning all of their last nine matches, Klopp's Liverpool scored 97 points, the third-highest total in the history of the English top-division and the most points scored by a team without winning the title, and remained unbeaten at home for the second season running. Their thirty league wins matched the club record for wins in a season.
Success eluded Klopp's Liverpool side in domestic cup competitions in 2018–19. On 26 September 2018, Klopp's side were knocked out in the third round of the League Cup after losing 2–1 to Chelsea, their first defeat of the season in all competitions, and were knocked out of the FA Cup after losing 2–1 to Wolves in the third round. Despite a lack of success in domestic cup competitions, Liverpool enjoyed a vintage run in the 2018–19 UEFA Champions League. Klopp's side finished second in their group by virtue of goals scored to qualify for the knockout phase, before drawing German champions Bayern Munich in the round of 16. A scoreless draw in the first leg, followed by 3–1 victory in the second leg at the Allianz Arena saw Liverpool qualify for the quarter-finals. Liverpool won their quarter-final tie against Porto with an aggregate score of 6–1 to advance to the semi-finals, where Klopp's Liverpool faced tournament favourites Barcelona. After suffering a 3–0 defeat at the Nou Camp, Klopp reportedly asked his players to "just try" or "fail in the most beautiful way" in the second leg of the tie at Anfield. In the second leg, Klopp's side overturned the deficit with a 4–0 win, advancing to the final 4–3 on aggregate, despite Mohamed Salah and Roberto Firmino being absent with injuries, in what was described as one of the greatest comebacks in Champions League history. In the final at the Metropolitano Stadium in Madrid against Tottenham Hotspur, Liverpool won 2–0 with goals from Mohamed Salah and Divock Origi, giving Klopp his first trophy with Liverpool, his first Champions League title, and the club's sixth European Cup/Champions League title overall.
In his first two full seasons at Liverpool, Klopp almost exclusively employed a 4–3–3 formation, utilising a front three of wingers Mohamed Salah and Sadio Mané surrounding false-9 Roberto Firmino, supported by Philippe Coutinho in midfield. The foursome earned the moniker of the 'Fab Four' as they supplied the majority of the team's goals over this period of time. Roberto Firmino's exceptionally high number of tackles for a striker under Klopp's management encapsulates his style of play, demanding a high-press from all his players and having his striker defend from the front. Following Coutinho's departure in January 2018, the remaining front three increased their attacking output and continued to create chances as Salah won the Premier League Golden Boot in 2018, before sharing the award with his team-mate, Mané, in 2019. In the early part of the 2018–19 season Klopp, at times, utilised the 4–2–3–1 formation, which he had previously used at Dortmund. While this was partially to account for a number of injuries to key players, it also allowed Klopp to accommodate new signing Xherdan Shaqiri, playing Roberto Firmino in a more creative role and allowing Salah to play in a more central offensive position. However, for the remainder of the season, the 4–3–3 formation, as with the previous two seasons, became Klopp's preferred setup as his side finished as runners-up in the Premier League and reached a second consecutive Champions League final, where Klopp won his first Champions League title as a manager.
Klopp has gained notoriety for his enthusiastic touchline celebrations. He received criticism in 2018 for taking things 'too far' when running on to the pitch to embrace Alisson to celebrate an added time winner in the Merseyside Derby. Pep Guardiola spoke in defence of Klopp, saying: "I did it against Southampton. There are a lot of emotions there in those moments".
In an interview for The Guardian in April 2018, Klopp expressed his opposition to Brexit claiming that it "makes no sense" and advocated a second referendum.