Allister Coetzee's side were in complete control of the prestigious tournament's showpiece at their home ground, Newlands, going in 13-0 to the good at half-time.
However, Lions mounted a superb comeback after the break, drawing level at 13-13 thanks to a 12-minute blitz in the early stages of the second half.
But two more penalty goals from Demetri Catrakilis - who also sent two penalties over in the first half - steadied the ship for Province, who held on to win 19-16 despite Ruan Combrinck's late penalty setting up a nervy finish.
The victory exorcises the demons of last season's final loss to Natal Sharks for Province, while the Lions' wait for a first Currie Cup success since 2011 goes on.
Province wasted little time in taking charge of the contest, with Lions simply unable to cope with their high-tempo start.
Two early penalties from Catrakilis put Coetzee's men in command, and the 25-year-old converted Jaco Taute's 35th-minute try to extend their advantage to 13 unanswered points at the interval.
To their credit, Lions refused to buckle and got themselves back in the game with a flurry of 13 points in just 12 minutes.
Marnitz Boshoff began the response with a penalty in the 45th minute, and Jaco van der Walt scored a try - which Boshoff duly converted - five minutes later.
Boshoff's second penalty of the match drew Lions level in the 57th minute, but Catrakilis showed typical composure to move Province back ahead with another penalty just two minutes later.
Catrakilis was at it again soon after to seemingly put the game beyond Lions, but Combrinck ensured it would be a tense finale with another penalty of his own in the 75th minute.
But Province, competing in their third straight final, kept their heads to seal a 34th Currie Cup success.