The renormalization of supersymmetric Yang-Mills theories with soft supersymmetry breaking is presented using spurion fields for introducing the breaking terms. It is proven that renormalization of the fields and parameters in the classical action yields precisely the correct counterterms to cancel all divergences. In the course of the construction of higher orders additional independent parameters appear, but they can be shown to be irrelevant in physics respects. Thus, the only parameters with influence on physical amplitudes are the supersymmetric and the well-known soft breaking parameters.