Perth successfully chased down the 157-run target, reaching 4-161 with five balls to spare in front of a vocal home crowd.
Mitchell Marsh, who finished unbeaten on 34 off 29 balls, hit the winning runs but it was captain Simon Katich who stole the show with a man-of-the-match performance as the Scorchers heaped further misery on the struggling Thunder.
Katich smashed 75 from 42 deliveries, which included seven boundaries and two sixes to set the tone for a successful run chase.
The former Australia batsman was well supported by Shaun Marsh (20 off 15), while Craig Simmons (nine), Adam Voges (eight) and Ashton Turner (three not out) added the remaining runs.
Gurinder Sandhu was the pick of the Sydney bowlers, finishing with figures of 1-26, while Dirk Nannes (1-28), Chris Tremain (1-34) and Luke Feldman (1-29) also claimed wickets.
Earlier, the Thunder made a steady start before Tillakaratne Dilshan was dismissed by Jason Behrendorff (1-25) for 14 with the visitors 1-38.
Fellow opener Daniel Hughes (24) soon followed, falling victim to Yasir Arafat (1-26) just two runs later.
Skipper Michael Hussey (13) and Kurtis Patterson's (two) stays at the crease were short-lived.
Eoin Morgan was a rare shining light for the Thunder, smashing 48 off 30 before he was run out by Mitch Marsh.
Jason Floros was the only other Sydney batsman to really kick on, finishing unbeaten on 37 from 24.
Veteran spinner Brad Hogg registered match-best figures of 2-20.