Lee's time of 36.80 seconds eclipsed the 36.94 recorded by China's Yu Jinh at the world sprint championships on the same oval on Jan. 29, 2012.
"I didn't expect the world record here," said Lee through an interpreter. "I was hoping to set it next week in Salt Lake City (at the world sprint championships)."
Other winners Sunday were Jens Smeekens of the Netherlands in the men's 500 and Heather Richardson of the United States and Hein Otterspeer, also of the Netherlands, in the 1,000 metres.
Winnipeg's Tyler Derraugh had the best showing for Canada, placing seventh in the 1,000. Derraugh had missed a bronze by one-tenth of a second on Saturday.
"It's a little bitter-sweet, I was just two-tenths off the podium today and after getting fourth (Saturday) I really wanted to be there, especially at home," said Derraugh, who set a personal best of 1:07.97 on Saturday.
It was the second time Derraugh just missed a World Cup medal in his third season as an international senior skater. Derraugh was fourth in Nagano, Japan in December. He is not a member of the national team.
"Doing well on the fast ice in Calgary was a big deal for me," he said. "This is the way you want to go into a world championship, so I'm feeling really good right now."
World 1,000 record holder Christine Nesbitt of London, Ont., took Sunday off as part of her preparations for Salt Lake City. She claimed silver behind Richardson in the 1,000 on Saturday.
Richardson has a lot of momentum heading home. She won both 1,000-metre races in Calgary and was second in both 500-metre races, losing to Yu on Saturday and Lee on Sunday.
"I'm excited that it went so well. Hopefully I can do the same thing next weekend," she said.
Richardson was second behind Lee in 37.42, while Margot Boer of the Netherlands won the bronze in 37.54. The only Canadian entered, Calgary's Anastasia Bucsis, placed 16th in 38.45.
Richardson's 1,000-metre time was one minute 13.30 seconds. Ireen Wust of the Netherlands was second in 1:13.89 and Brittany Bowe of the United States third in 1:13.96. No Canadians participated.
Smeekens won the men's 500 metres in 34.39. Japan's Joji Kato took silver in 34.44 and Michel Mulders of the Netherlands the bronze in 34.55. Gilmore Junio of Calgary was the top Canadian, eighth in 34.71.
Otterspeer's time in the 1,000 metres was 1:07.76. Davis was next in 1:07.83 and Samuel Schwarz of Germany third in 1:07.85.
Not skating for Canada on the weekend was 1,000 threat Denny Morrison of Fort St. John, B.C., who is recuperating from a broken leg suffered while cross country skiing in late December. Morrison had a World Cup gold and silver in the 1,000 metres earlier this season.