Her seven downhill titles and her 18th crystal globe are both records for women.
"It's incredible after being out with two knee operations. It is just amazing to be sitting where I am today," the American said. "I'm so proud and happy, and I really have to thank the people that supported me and got me back to where I am now."
Vonn finished 0.24 seconds ahead of Elisabeth Goergl and 0.30 ahead of Nicole Hosp.
Austrian racer Anna Fenninger finished second in the downhill standings. She trailed Vonn by 35 points heading into the race, and failed to make an impact on the Roc de Fer course, finishing nearly one second behind Vonn in eighth place.
Vonn, who raced immediately after her, increased her speed on the bottom section to clinch a 66th career race win. She is the all-time leader in wins.
Some fans near the finish held up banners saying "Congrats Lindsey" as she raised her poles.
Vonn finished the downhill season with 502 points, putting her 103 ahead of Fenninger. Tina Maze of Slovenia was third with 356.
In the race for the women's overall World Cup title, Fenninger holds a 12-point lead over Maze.
Maze gained some ground on Fenninger by finishing fourth on Wednesday.
Vonn, a four-time overall World Cup champion, is out of contention for the overall title this season.
Vonn blew out her right knee in a super-G at the 2013 world championships in Schladming, Austria. She hurt her knee again in her comeback, keeping her out of last year's Sochi Olympics.
She went nearly two years without a victory before winning a downhill in Lake Louise, Canada, in December. The following month, she overtook Austrian great Annemarie Moser-Proell's 35-year-old record of 62 World Cup victories.
"I'm incredibly thankful to be holding another downhill title," Vonn said. "It's been a long two years coming back from my injuries."
Vonn will battle with Fenninger again on Thursday when the super-G title will be decided. Vonn is eight points ahead of Fenninger.
"Tomorrow is a chance for another globe. It's going to be tough because Anna's skiing really well, and it's going to be soft conditions like it was today," Vonn said. "But something about this track suits me. I'll give my all, as I always do."
Fenninger has been in great form, winning gold medals in giant slalom and super-G at the world championships last month, and placing second in downhill behind Maze, who finished second to Fenninger in super-G at the worlds.
Also, Kjetil Jansrud clinched the men's downhill title by winning the last race, too. The Norwegian finished 94 points ahead of Hannes Reichelt of Austria.