The 20-year-old from Calgary captured Canada's eighth medal by a female skeleton athlete in the 12 world championships since 2000.
"It is surreal," Vathje said. "I didn't have the best two runs today, but it was good enough to get on the podium. It really is amazing. I never expected this and it was such a roller-coaster season for all of us."
Jane Channell of North Vancouver, B.C., was fourth.
Canada's skeleton team learned at the beginning of the season that it would lose a large chunk of its funding.
Nevertheless, Vathje kept up Canada's tradition of excellence in the sport, racing to a silver in her first World Cup race in Lake Placid, N.Y. She followed it up with a World Cup victory a week later in Calgary. She captured two more silver medals, in Igls, Austria, and then in St. Moritz, Switzerland.
"None of this has set in yet," said Vathje. "The gold in Calgary or even the silver in Lake Placid. It is just surreal, but I am so, so happy. I just hope these results further help the skeleton and secure the funding we need."
Olympic champion Lizzy Yarnold of Britain clinched gold, holding off home favourite Jacqueline Loelling. Yarnold, who was fastest in Friday's opening runs, maintained her dominance by completing the quickest times across all four for a combined time of three minutes 49.95 seconds.
Yarnold beat Loelling, the German two-time junior world champion, by 0.67 seconds and Vathje by 0.79.
Martins Dukurs won the men's title on Friday. It was the Latvian's third skeleton world championship title after wins in 2011 and 2012.