The Parisian club has now won the prestigious cup on 14 different times.
Paris Saint-Germain required a stoppage-time leveler followed by a successful spot-kick decider to get past Marseille in Kuwait and capture a record-extending fourth consecutive Trophee des Champions title.
The Champions League holders seemed to be sailing towards a comfortable triumph in the showdown between the French league champions and the Coupe de France holders after Ousmane Dembele found the net early on.
However, the southern French side struck twice in the closing moments to seize a shock lead. First, the English forward converted from the spot-kick, before the defender unfortunately directed the ball into his own net for an own goal.
In a remarkable twist of events, Goncalo Ramos snatched a vital equaliser in the dying moments to send the contest into a deciding shootout. The Parisian shot-stopper Chevalier then emerged as the hero, saving crucial attempts from Matt O'Riley and Hamed Traore.
In the shootout, Goncalo Ramos, the midfielder, Nuno Mendes, and Desire Doue all scored with composure for Paris Saint-Germain to seal a 4-1 shootout win.
The record champions PSG, who faced last season's Ligue 1 runners-up Marseille after completing a league and cup double, have now lifted this competition for the twelfth time in the past thirteen seasons.