Zenhaeusern beat Sweden's Andre Myhrer in the final of the men's race to silence the noisy home crowd. Zenhaeusern led by four hundredths of a second after the first run and clinched the final as Myhrer was disqualified in the second leg.
Wendy Holdener of Switzerland led after the first leg of the women's final, but a mistake on the second allowed Haver-Loeseth to pass her and coast to victory.
America's overall World Cup leader Mikaela Shiffrin, who won the event the last time it was held in Stockholm, skipped this year's gathering, which took place just 10 days before the Winter Olympics will open in Pyeongchang, South Korea.
Both competitions featured 16 athletes racing against each other in pairs over two legs, with the winner going forward to the next round.
Austria's Marcel Hirscher, who leads the overall men's standings, started as the favourite on Tuesday, but he was narrowly beaten in the quarter-finals by Luca Aerni of Switzerland.
The city centre course at Hammarbybacken provided a tough test of the technical skills of the skiers, with the head-to-head racing adding spice to the occasion.
The Pyeongchang Games will feature a side-by-side racing format for the first time, as part of the Alpine Team event.
(Reporting by Philip O'Connor; Editing by Toby Davis)
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