South Africa ended up in the play-offs after losing 3-2 to Malawi on Thursday afternoon, with a new champion set to be crowned this year.
Zambia, who lost Tanzania in the last four, drew first blood in the 17th minute thanks to a strike from Ochumba Oseke Lubandji.
Banyana, meanwhile, were unable to get themselves back on level terms in the opening 45 minutes after chances were hard to come by.
Desiree Ellis looked to rectify that in the second half with Gabriela Salgado and Melinda Kgadiete replacing Kgalebane Mohlakoana and Ntombifikile Ndlovu.
South Africa did indeed get their reward but only with 15 minutes left on the clock thanks to Sibulele Holweni's fifth goal of the campaign.
After neither nation could find a winner in the final minutes, Zambia went on to clinch the win after defeating South Africa 4-3 in a penalty shoot-out.