South Korea's Lee edged countrywoman and world number three Park Inbee on the second play-off hole in Grand Rapids, Michigan after the pair ended level at 14-under-par overall.
Park, the overnight leader, shot a final-round one-under-par 70 at Blythefield Country Club, with Lee's 69 seeing them finish the 72 regulation holes in a share of the lead at the inaugural event.
Both players made par on the first play-off hole - the 18th - before Lee's birdie at 17 split them.
Norway's Suzann Pettersen was outright third on 13 under, after carding consecutive 69s, while Japan's Haru Nomura fourth on 10 under.
Tied for fifth were Germany's Sandra Gal, South Korean Amy Yang and Line Vedel of Denmark on nine under, while China's Shanshan Feng was outright eighth.
Rounding out the top 10 were Americans Kris Tamulis and Cristie Kerr, tied for ninth on seven under.
Race to the CME Globe leader Stacy Lewis finished strongly, rising from a tie for 28th to outright 11th on the back of a final-round 66.