Vathje finished with a two-run time of one minute 51.90 seconds in the World Cup debut.
Britain's Elizabeth Yarnold finished first in 1:51.13, while Austria's Janine Flock slid to bronze in 1:52.04.
"I'm so excited and a little overwhelmed," Vathje said. "My goal was top-six today, but I really had no expectations.
"My first run was pretty good so going into that second run, I just relied on my years of experience here and let 'er fly."
Vathje's silver medal was a strong start to the season for Canada's new-look skeleton squad. Bobsleigh Canada Skeleton is sending five new athletes onto the World Cup circuit this year.
"I know the skeleton program is struggling right now so I really saw these first World Cups as a great opportunity to say Canada is still here, and we can win," said Vathje. "With this result, I will now be a lot more relaxed heading into Calgary next week. I have a lot of experience there so I'm looking forward to it."
Calgary's Lanette Prediger finished 11th, while Madison Charney of Brooks, Alta., placed 19th.
In the men's race, Latvia's Martins Dukurs won the gold with a time of 1:47.42, while his brother Tomass Dukurs slid to the silver at 1:47.72. Matthew Anotine, of the United States, claimed the bronze at 1:47.86.
Dave Greszczyszyn of Brampton, Ont., led Canada with an eighth-place finish.
Barrett Martineau of Calgary finished 16th.