There was never more than one frame between the pair in this marquee match in Milton Keynes until Day reeled off successive breaks of 74, 70 and 84 to hit back from 7-6 behind to lead 9-7.
Both players missed chances in a cagey 17th frame but Day had his nose in front after the reds were cleared and then got the upper hand in a safety exchange on the yellow before clearing to pink to win.
In doing so, Day scooped the winners' prize of £100,000 for his fourth ranking crown, having previously tasted success at the Riga Masters, Gibraltar Open and Shoot Out.
"It's special," said the 42-year-old, who was joined by his wife and two daughters as he celebrated with the trophy.
"It was a fantastic match and a top standard for most of it. I felt like I got stronger as it went on. To be able to share that moment at the table with the trophy and the family is magic."
Day feared a "massacre" after feeling he underperformed in his final frame victory over Robbie Williams in Saturday night's semi-final.
He said: "I was worried that the match would all be done and dusted early in Mark's favour, because of how badly I played in the semi-finals, it could have been a massacre. But I slept well, changed my mindset and played a lot better.
"I have had some horrific defeats and played some awful matches in the last few years and I was wondering whether the end was near.
"But a win like this gives me at least another couple of years with a cue in my hand and hopefully there is more to come. Winning a big event like this shoots you up the rankings and I need to capitalise.
"My wife had already booked a holiday in New York in December so the £100,000 comes at a good moment!"