Malen opened the scoring in the 18th minute as he took advantage of an error from Vitesse defender Armando Obispo to give his side the lead.
The 20-year-old grabbed his second in the 36th minute with a header off a corner kick before completing his hat-trick just a minute after the break with a header off a rebound.
From there, the Netherlands international would score two penalties in the game's final 10 minutes to round off a remarkable afternoon at the Philips Stadium.
Malen became just the third player to score five goals in an Eredivisie game for PSV after Coen Dillen in 1959 and Bert Theunissen in 1964.
The striker now has nine goals in all competitions for PSV this season, including six in the Eredivisie.
It's been an eventful two weeks for Malen, who scored against Germany in his Netherlands debut on September 6 and would then make his first Netherlands start four days later in a 4-0 win over Estonia.
Malen's recent rise to prominence is likely a frustrating development for Arsenal fans, who watched the striker star for the club's youth teams after moving from Ajax in 2015.
But with senior team opportunities hard to come by, Malen moved back to his home country in 2017 when he joined PSV.
Speaking to De Telegraaf earlier this year, Malen said that he left north London in search of more playing time even though Arsenal wanted to extend his deal with the club.
"That I was sent away from Arsenal is certainly not true. I still had a contract for a year and Arsenal even wanted to extend that,” Malen said.
“I don't play football for the money. I never did that. Otherwise I would not have left England.”
Malen scored 10 Eredivisie goals last season as PSV lost out to champions Ajax by three points.
PSV have started the new seasons with four wins and a draw from their first five games, leaving them level with Ajax on 13 points atop the league standings.