Another Austrian, Cornelia Huetter, was third.
The 2010 Olympic downhill champion won both downhill races earlier in the weekend.
It is the third time Vonn has completed a hat-trick at Lake Louise, where she has clinched 18 of her 70 World Cup victories.
“I feel like there were some people that doubted whether I could win today, and especially because Lara (Gut) had won the last couple races here in Super-G,” Vonn told reporters.
“And also my technician made some bets with people, so I felt a little bit like I had to come through.”
Sunday's victory by the 31-year-old was her record 25th in World Cup Super-G, one more than retired Austrian Hermann Maier.
With her overall 70th victory, Vonn increased her record among women, and moved her closer to the overall World Cup record of 86 wins by retired Swede Ingemar Stenmark.
(Reporting by Ben Everill in Los Angeles; Editing by Andrew Both and Martyn Herman)
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