Belgium won a tense penalty against the Dutch in the title showdown in Bhubaneswar.
A goalless stalemate in regulation time forced the shootout which also resulted in a 2-2 deadlock after five penalties each in the all-European final.
Florent van Aubel then converted to put Belgium ahead before the Netherlands' Jeroen Hertzberger shot wide to dash their hopes of a fourth title.
Belgium had begun celebrating when Arthur de Sloover fired home but the Dutch used referrals and replays confirmed the ball had brushed the attacker's boot, injecting more drama into the contest.
Belgium, however, could not be denied their moment of glory.
Van Aubel scored in sudden death and then man-of-the-match Vanasch forced Hertzberger wide and the Dutchman's reverse shot sailed over the crossbar to trigger wild celebrations in the Belgian camp.
Holding the trophy was an emotional moment for the Belgian players, especially Simon Gougnard who lost his father to cancer on Friday.
This was the first time Belgium had managed to go past the semi-final stage, and they have lifted the most prestigious trophy in field hockey in their first ever final.
Ranked third in the world, Belgium's tournament proper actually started in the second round.
They finished second to hosts India in Pool C, then in the crossover, they defeated the most successful team in the tournament's history and four-time winners Pakistan 5-0, which was followed by the mauling of England.
It was a great day for Belgium hockey as the country registered its second biggest international title after the Olympics silver in Rio in 2016.
In the last edition of the World Cup at The Hague in Netherlands, Belgium had finished fifth.
Belgium goalkeeper Vincent Vanasch outmatched his Dutch counterpart Pirmin Blaak by making four saves to hand his side their maiden World Cup title.