Germany's Maria Höfl-Riesch won silver, to go with the gold she won in Monday's super-combined, while combined silver medallist Nicole Hosp of Austria took bronze.
Fenninger, starting with bib number 18, showed all of her giant slalom skills to clock 1 minute 25.52 seconds. “I can't describe my emotions, I am really stunned,” said the 24-year-old. “I didn't think it was going so well while I was going down.
“I have to give praise to the coach who set the course because you have to be so tactical,” she added.
“I was very good up top, not so good at the bottom but in the middle section there was still the possibility to go looking to go faster, as Maria [Höfl-Riesch] showed.”
“Best day of my life”
“Adrenaline is very high in super-G and that's what I like, to go fast,” said the newly crowned Olympic champion.
“It's the best day of my life. It had been a big dream of mine for a long time, and today it came true. Today is my day.”
After she skied out of the downhill, there were concerns that the Austrian might again fail to deliver on her immense promise.
“It was two tough days,” acknowledged Fenninger. “It was very bitter for me that I couldn't finish the downhill. I had a good feeling and it was not so easy to say 'okay it's not my day'. I thought it was a big chance.
"Over the last two days, I trained hard and thought to myself how to get into the Olympic spirit."
A tough test
In brilliant sunshine, a capacity 7,500-strong crowd gathered in Rosa Khutor to watch the super-G, or "super giant slalom", which combines elements of the downhill and the giant slalom, and is decided over a single race.
Höfl-Riesch, who crossed the line 0.55 seconds slower than Fenninger, was left ruing missed opportunities after taking the lead on the third split and looking well on course for another gold.
However, she went wide as she flew over the final bump and could not rediscover her rhythm in time through the swinging series of gates to the finish area.
“Our coaches told us we had to change a little on the final lip but I hit it too quick and couldn't modify my trajectory,” reflected the 29-year-old German.
“I didn't think I was so quick and that I was in the lead through the middle. After that mistake at the bottom, I still find it hard to believe that I'm second. The surprise was even greater than in the combined.”
Unlike the downhill, skiers do not have the chance of a pre-race training run for super-G, but must rely on a one-hour visual inspection ahead of the race.
This added an extra layer of difficulty to a challenging course and amazingly, 18 out of the 49 starters, including 12 out of the top 30, failed to finish.
Swiss Dominique Gisin, who shared gold with Slovenia's Tina Maze in Monday's downhill, was one of the skiers who failed to master the course, failing to negotiate a sharp left of the flying final lip with the line in sight.
Maze meanwhile finished fifth (+0.76sec), just behind downhill bronze medallist Lara Gut of Switzerland in fourth.
“I think we all underestimated the track after inspection,” said Swiss racer Fabienne Suter, who finished seventh at 1.37 seconds.