Gagnon was 1.37 seconds off the lead in 16th after the super-G portion but went ahead of the field after posting the second fastest time in the slalom run.
"It's really exciting, a magical moment," said Gagnon, who wasn't even born when Gerry Sorensen won a combined event in Puy St. Vincent, France, on Jan. 8, 1984 for the last triumph by a Canadian woman.
"My teammate Erin Mielzynski won two years ago in Ofterschwang. She was the first Canadian woman to win in slalom in like 40 years," Gagnon said. "That was unbelievable and I didn't expect our team to make history again."
Gagnon finished in an overall 2 minutes, 5.55 seconds to beat second-place Michaela Kirchgasser of Austria by 0.32. Maria Hoefl-Riesch of Germany trailed Gagnon by 0.39 in third.
Nicole Hosp of Austria, who led the competition after the super-G, finished fourth.
"It's amazing. I was quite surprised," said Gagnon, whose only previous podium came in a slalom in Are, Sweden, in 2012. "I didn't expect that after the first run. I knew I had to do a really good slalom run to be on the podium. I just tried to do my best and it looks like the pieces of the puzzle have come together."
The super-combined format was introduced at the start of the 2005-06 season to replace the classic combined races, which consisted of one speed run followed by two slalom legs.
No Canadian skier — male or female — had ever made the podium in a super-combined before. The last Canadian to get in the top three of any combined event was Emily Broydon, who came third in San Sicaro, Italy, in 2005.
The combination of super-G and slalom at Sunday's event suited Gagnon, who was in the top 10 of two super-G races this season and in the top six of all four slaloms.
"I am happy with my season so far and this tops it off for sure," said Gagnon, coming off a disappointing season following her first top-three finish at the end of the 2011-12 campaign.
"I ended that season really strongly and I came in the season after and I was expecting a lot," Gagnon said. "But I was trying too hard. This year, I just try my best. I know I have done all the work in training."
Second-place Kirchgasser made an even bigger jump as she climbed from 20th after the super-G.
"I knew something would still be possible (after the first run)," said the Austrian. "But after my slalom run, I first thought it wasn't enough."
Kirchgasser failed to finish five races this season, but said she had forgotten about 2013 already, adding "2014 has been really good so far."
Hoefl-Riesch regained the lead in the overall standings one day after she lost it to Austria's Anna Fenninger after Saturday's downhill.
The German has 731 points and Fenninger, who finished eighth, 709. Tina Weirather of Liechtenstein is third with 673.
"Of course I am really happy," Hoefl-Riesch said. "But there's also a little bit of disappointment. It wasn't perfect skiing from me. And I missed second place by 0.07 yesterday and again today. But all in all it was a very satisfying weekend."
Earlier Sunday, most of the 19 starters who failed to finish the super-G went out at the Panorama, a sharp right turn about 40 seconds into the run. Going into the curve with too much speed made it difficult to make the next gate.
Julia Mancuso, who won the super-combined in Altenmarkt-Zauchensee in 2007, also went out at that point. Her American teammate Lindsey Vonn, who has a record 12 podium finishes in super-combined including a win here in 2009, is out for the season because of a right knee injury.
It was the first super-combined event of the season and the only one before the Sochi Olympics next month.
The women's World Cup travels to nearby Flachau for a night slalom on Tuesday.