Australia smashed 13 sixes on their way to 6-195, before England once again capitulated meekly to lose by 84 runs, bowled out for 111 in the 18th over in front of 48,762 fans in Sydney.
Bailey (49 not out off 20) was the only Australian player dropped after the Ashes, but the T20 skipper still had the last laugh over England in what remained a comical campaign, right to the bitter end.
England's 101-days of misery has featured only the third Ashes whitewash in history, a 1-4 thumping in the one-dayers, and now a three-nil clean sweep in the T20s.
In between the losses, the international careers of spinner Graeme Swann and coach Andy Flower have been ended, and it could also be curtains for Kevin Pietersen, Matt Prior, Jonathan Trott and as far as captaincy is concerned, Alastair Cook.
In 2006-07, when England were also swept 5-0 in the test series, they lost 11 international matches on tour - but they've been eclipsed by this bumbling touring party who started the summer as overwhelming favourites.
The embarrassment continued on Sunday, with three dropped catches, two botched run-outs some shameful dismissals and fast bowler Jade Dernbach - verbally sprayed by Australian opener Cameron White in Melbourne - recording the worst figures ever (1-141 from 11 overs) in a bilateral T20 series.
Bailey was overlooked for the test tour of South Africa, but he showed why he'll be the key man in Australia's World Twenty20 campaign in Bangladesh in March - smashing 26 runs off the final over bowled by Dernbach (0-49) to put the home side in supreme control.
In-form openers White (41 off 37) and Aaron Finch (30 off 21) and Ben Cutting (29 off 16), promoted to No.4, also set the foundation for the highest total set at ANZ this summer.
England managed to make Homebush's usual occupants, the hapless Sydney Thunder, look a million bucks, with the softest of surrenders - the tourists clearly focused more on their early-morning flight home on Monday.
The only exception, captain Stuart Broad (3-30), who has fought bravely since day one.
Nathan Coulter-Nile, James Muirhead and Glenn Maxwell took two wickets each for Australia before the tour fittingly ended with Dernbach run out in clueless fashion.
Bailey said selectors had some welcome headaches to solve ahead of the World Twenty20.
"It was a challenge we threw out to the group ... there would be spots up for grabs," said Bailey.
"Guys needed to commit to how the team wanted to play and I can't fault any of them.
"It's been very, very pleasing and we've finished it off with the most complete performance tonight which is great.
"It was a couple of lucky nights (with the bat for me) so hopefully that can continue for a bit further. Both nights we've had solid starts and that's been key to us - Finchy and White in all three games."
Broad said England wouldn't drop their bundle.
"If we can learn from this week and push forward, we'll still have a decent chance in Bangladesh," he said.
"We've got a dangerous side and, when we get together as a side and gel, anyone can win that tournament. We have to go in with a lot of confidence - nothing that hard work won't sort out."
