Goalkeeper Sarah Bouhaddi held her nerve to smash home the decisive spot-kick having saved from opposite number Katarzyna Kiedrzynek on Thursday.
The PSG keeper was inconsolable on the turf as Lyon prepared to hoist the Champions League trophy for a fourth time, following a sixth European final in eight seasons.
Lyon now have back-to-back trebles having collected the French league and cup domestically.
A cagey, tactical affair did not appear to be going Lyon's way midway through the first half when United States star Alex Morgan limped off due to a recurrence of her recent hamstring injury.
Ada Hegerberg prodded wide from close range to waste Lyon's best chance, while Marie-Laure Delie spurned a glorious opening from 10 yards for PSG.
It meant it all came down to spot-kicks and, after the majority of the outfield players – save for PSG's Grace Geyoro and Lyon's Eugenie Le Sommer – did their bit, Bouhaddi prevailed in the battle of the keepers.