Khoroshilov built on his commanding first-run lead to finish in a total time of 1 minute, 46.39 seconds, 1.44 ahead of second-place Stefano Gross of Italy, who had his maiden win two weeks ago in Addelboden, Switzerland.
"It was a surprise for me," said the 30-year-old Khoroshilov, who earned his first World Cup podium last month. Russia's last victory came from Alexander Zhirov in a giant slalom in 1981.
Felix Neureuther of Germany came 1.51 behind in third and extended his lead in the discipline standings while setting a personal best by reaching his seventh podium of the season.
Toronto's Phil Brown did not qualify for the second run.
Neureuther has 540 points, 66 clear of Marcel Hirscher. The Austrian three-time overall champion, who was fourth after the opening run, dropped to 14th after a wild second run.
"I had two good runs, and I had a really good feeling and then you can ski fast," said Khoroshilov, adding he didn't feel pressure going into the second run. "Maybe last year I would have been nervous but not anymore."
The Russian became the third slalom skier to earn his maiden win this season after Gross and Mattias Hargin, who won in Kitzbuehel two days ago.
Khoroshilov drew praise from his rivals, with Hirscher calling the Russian's performance "just sensational."
Neureuther said it was "fantastic how he raced after leading a slalom for the first time. That was superior," and Gross added that Khoroshilov "had a super race."
Khoroshilov was one of Russia's main medal hopes in Alpine skiing for the Sochi Games last year. He didn't fully live up to expectations as he finished 14th, still his best Olympic result.
A year on, he is having a breakthrough season as one of the most consistent slalom skiers, finishing every race in the top 10.
After coming third in Are, Sweden, he followed up with fifth places in Zagreb, Croatia, and Wengen, Switzerland.
Tuesday's slalom was the final World Cup race before the world championships start in Beaver Creek next week.
Heavy snowfall made racing difficult as the icy surface got covered by fresh powder. Visibility was limited and many racers wiped their goggles immediately after finishing.
A day after skipping training and the public bib draw as he felt "exhausted," Hirscher didn't look his usual self with an uncharacteristic final run.
"That was just bad skiing," said the Austrian, who extended his lead in the overall standings. Hirscher has 1,014 points, 180 ahead of Norway's Kjetil Jansrud, who doesn't compete in slalom.
Hirscher was just one of many of the pre-race favourites who struggled with the conditions.
Last year's winner Henrik Kristoffersen of Norway came more than two seconds behind in seventh, while Alexis Pinturault of France was 2.85 back in 17th.
Will Brandenburg and David Chodounsky were the only Americans who qualified for the final run, and they finished 18th and 19th, respectively.
Teammate Ted Ligety skipped the race. He travelled back to the U.S. to prepare for the world championships following a disappointing weekend in Kitzbuehel, where he failed to finish the super-G and was disqualified in the slalom.
Ligety is the defending champion in three events at the worlds — super-G, combined and giant slalom.
The World Cup season includes two more slaloms after the worlds — in Kranjska Gora, Slovenia, and Meribel, France, in March.