Defago had a nearly flawless run and clocked a time of two minutes 1.81 seconds, showing that he has fully recovered from a knee injury that kept him out all of last season.
Fellow Swiss Patrick Kueng was 0.29 seconds behind and Klaus Kroell of Austria was 0.42 seconds back in third place.
Guay, the reigning world downhill champ from Mont-Tremblant, Que., laid down a controlled run to finish 0.64 seconds behind Defago.
"It’s frustrating to be fourth but all in all, I had a pretty solid run,” said Guay. "It’s a really, really challenging downhill this year. I feel like I could have taken some chances in different areas.”
It was the fourth World Cup win of Defago's career and his third in the downhill, having won the classic races in Wengen and Kitzbuehel back-to-back three years ago.
Defago appeared set for greatness after snatching a gold medal at last year's Vancouver Olympics, but then he ruptured knee ligaments in pre-season training in September 2010 and spent seven months off the slopes.
"I'm just happy to be racing again. Everything is positive now," Defago said. "I've been waiting for this race since the start of the season. I like this course and it suits my style. I knew I could do well."
Defago has picked a good time to regain his form, with the next downhills in Wengen and Kitzbuehel.
"I had some difficult times and I suffered but the support from my family and the doctors was a big help," Defago said. "That's why I travel with my family — it was great to have my wife and two kids here to celebrate with them."
Defago and Kueng also had loud support from a large group of red-clad Swiss fans, with the Swiss border only a short drive away.
Calgary's Jan Hudec was 23rd, Benjamin Thomsen of Invermere, Ont., was 32nd and Louis-Pierre Helie of Berthierville, Que., was 47th.
Guay, who took time over the summer to deal with a troublesome back, appears closer to a return to his top form.
“Over the last two races it’s been much more consistent,” Guay said. “All I can do now is have a good break at home and come back (strong) next year.”
An early starter with the No. 11 bib, Defago didn't celebrate much at the finish with the top-ranked downhillers still to start, although he did hold up a finger to signal he was No. 1 — and that's where he remained as a slight wind appeared to slow the later starters.
"What Didier has done after that injury is truly unbelievable. I can only bow my head and tip my hat to him," said fellow Swiss standout Didier Cuche, who finished eighth.
Kueng, meanwhile, was sitting third when the previous downhill in Val Gardena was cancelled due to strong winds.
"I told Kueng this morning that after he lost that podium in Val Gardena he better show he can do it again today and he did," Cuche said. "Of course I'm frustrated with my finish today but I'm happy for both of my teammates."
Defago became the fourth different Swiss man to win this season, with Cuche taking the opening downhill in Lake Louise, Alberta; Sandro Viletta winning a super-G in Beaver Creek, Colorado; and Beat Feuz taking a super-G in Val Gardena earlier this month.
"It's great we're having so much success and I feel like my first victory could come at any time," Kueng said. "I'm a good glider and Wengen should suit me."
Three-time Stelvio winner Bode Miller was fifth, moving the American to the top of the downhill standings.
After three of 11 downhills, Miller holds a nine-point lead over Kroell, with Cuche 13 points back and previous leader Feuz trailing by 14 points.
Feuz fell and slid downhill on his back for about 100 metres after losing control on the top section, although he immediately got up and appeared uninjured.
Overcast conditions made visibility better than usual — since sun and shade often provide a disarming contrast on the Stelvio — but several racers still had problems.
Christof Innerhofer of Italy, the 2008 winner here, missed a gate midway down as he struggled with the flu; and Robbie Dixon of Whistler, B.C., went off course on the top.
Miller nearly touched the snow with his left hip midway down as he tried to correct his line on a traverse.
"I take a lot of risks with my skiing and when I made that mistake on the traverse there was nowhere else to make up time," Miller said. "I basically had to ski uphill to make the next gate."
Aksel Lund Svindal of Norway finished sixth and reclaimed the lead in the overall World Cup standings from Marcel Hirscher of Austria, a technical specialist who does not race downhill.
Svindal leads Hirscher by 31 points, with Ted Ligety of the United States is third, 71 points back.
The men's circuit resumes Jan. 5 with a slalom in Zagreb, Croatia.
With files from The Canadian Press.