Andile Jali opened the scoring for Pirates in the 7th minute, before Hlompho Kekana equalised for Sundowns in the 27th.
The match ended at 1-1 in regulation time.
Pirates keeper Senzo Meyiwa was the hero of the day for the treble champions, as he saved Esrom Nyandoro's decisive spot-kick to hand Augusto Palacios's men the trophy.
For their achievement Pirates won R150 000, to donate to any charity organisation in Mpumalanga.
Bucs' Player of the Season Siyabonga Sangweni was handed the captain's armband, as Lucky Lekgwathi watched the game from the bench.
Pirates take on Kaizer Chiefs next, in the Carling Black Label Cup at Soccer City on Saturday.