Adam Maher opened the scoring with a brilliant solo effort in the 12th minute before Jozy Altidore doubled AZ's advantage moments later.
PSV pulled one back through Jurgen Locadia just after the half hour mark, but they were unable to find another breakthrough as AZ lifted the cup for the first time since 1982.
It is their first silverware since their 2009 Eredivisie title.
Gertjan Verbeek's side were the underdogs going into the clash and had already been beaten twice by PSV in the league this season, but they got off to the perfect start with two quick-fire goals after they were lucky to escape a penalty shout against them.
Locadia's strike appeared to hit the arm of AZ defender Nick Viergever, but referee Bjorn Kuiper waved play on.
Maher then old two PSV defenders a deft dummy before slotting the ball past goalkeeper Boy Waterman, with American Altidore getting in on the act less than two minutes later.
The United States international clipped the ball past the PSV keeper for his eighth goal of the tournament, leaving him the competition's top scorer.
Locadia pulled one back for PSV, who are currently second in the Eredivisie behind Ajax, when he headed in Dries Mertens' free-kick, and it looked like the Eindhoven side would reel in AZ during the second half.
However, they were unable to do so, and AZ went on to claim the fourth KNVB Beker in their history.