Van Gerwen's bid to win a third title in four years at the double-start tournament saw him land an incredible 18 maximum 180s in an astonishing nine-set contest.
Thornton, though, produced a gutsy, resilient display to win his second major PDC title with some ruthless finishing as he picked up the £100,000 first prize.
After van Gerwen raced through the first set 3-0, the Scot won the next two in a deciding leg and also led 3-2 and 4-3 before the Dutchman hit back to send the game all the way.
The pair shared the opening two legs of the ninth and final set, but van Gerwen missed doubles in the next two as Thornton followed a tops finish with a 13-darter to seal glory.
The win adds to Thornton's previous victories in the 2007 BDO World Masters and 2012 UK Open, and the Scot admitted: "It's the best day of my darting career.
"It's unbelievable, absolutely awesome. If you're going to win a tournament, this is the way to do it, and Michael showed why he's the world number one at the moment.
"I beat Phil in the UK Open final and he was on top of the pile then, and I've beaten Michael tonight. This is so sweet and it goes to show that you should never give in.
"Going into the last set I thought to myself that if I could hold my own throw then I could do this. My wife says that I'm a little pitbull with the heart of a lion; I never give in and I keep fighting to the end.
"Michael hit me with everything but he missed a few doubles going for finishes, and I just kept battling.
"I'm looking forward to the next tournaments but I've enjoyed this one. It's a great tournament."
Van Gerwen landed 180s with his first two full scoring throws in the match as he opened with a 14-dart finish, and he landed further maximums in the next two legs to take the set without reply.
He added further 180s in the opening two legs of the second set, but saw Thornton finish double five and double eight to lead 2-0 - only for the world number one to hit back on double ten before taking out 101 to level the set.
The fifth leg proved dramatic as Thornton kicked off with scores of 160 and 180 before defying a maximum from the Dutchman to land double 16 to edge the set 3-2 to level.
The third set also went all the way, with finishes of 89 and 68 from van Gerwen cancelled out by a 101 checkout and double three from Thornton, who again kicked off the deciding leg with a 160 before hitting double two for the set and a 2-1 lead.
Van Gerwen hit back immediately by taking the fourth set without reply, hitting checkouts of 104 and 110 in the process, but missed his chance to take the fifth set into a decider when Thornton punished five missed doubles by hitting tops to take the set 3-1 and regain the edge.
Another superb set saw van Gerwen level the contest at three-all, as he hit a 13-darter, a 180 and double four and a 15-dart leg on double nine to hit back - and he continued his momentum in the seventh with two more maximums as he took a 2-0 lead.
Thornton hit back to level by taking out tops and 118, and when van Gerwen missed two darts for the set - at double ten and five - in the decider, a 74 checkout put the plucky Scot 4-3 up.
A superb 177 from van Gerwen set up double 12 as he led in the eighth set, with Thornton levelling only to see van Gerwen hit tops following his 17th maximum as he moved 2-1 ahead before defying a 180 to claim the set on double nine.
Thornton kicked off the decider with a 90 finish, despite van Gerwen piling home another 180, before a 13-darter which was opened with a 160 score saw the Dutchman level.
Three misses from van Gerwen, though, allowed Thornton in to take out 48 as he moved 2-1 up and to the brink of victory, and when the Dutch star missed tops in the next his rival hit the same bed to complete a 13-darter for glory.
Van Gerwen has claimed the UK Open and World Matchplay titles so far this year, but fell just short of adding another winner's trophy to his ever-growing collection.
"I think it was a fantastic final for everyone to watch, but I didn't win and I'm gutted," said the 26-year-old Dutch superstar.
"I missed too many doubles and I gave him too many chances, especially in the last set, and you can't do that at this stage of the tournament.
"Robert is a fighter and he never gives up. Fair play to Robert; every chance he got he took it and deserved to win this, but I will be back even stronger in the next tournament."
The win also secures Thornton's place in the SINGHA Beer Grand Slam of Darts from November 7-15, with the Scot having been the runner-up two years ago at the Wolverhampton Civic Hall.
Thornton also moves up to fifth in the PDC Order of Merit after securing his 13th PDC ranking title.
Saturday also saw Balbriggan’s Mick McGowan claim a place in the William Hill World Darts Championship as he won the final of the biggest domestic event in Ireland, the Tom Kirby Memorial Irish Matchplay.
McGowan had trailed Cork-based left-hander Tom Biggane 5-3, but hit back to level the game before escaping from four missed match darts to claim a 6-5 win and a return to the big stage for his third World Championship challenge in December at Alexandra Palace.
partypoker.com World Grand Prix
Michael van Gerwen 4-5 Robert Thornton
Tom Kirby Memorial Irish Matchplay Final
Mick McGowan v Tom Biggane
1-0 - McGowan takes out 86 to win the opening leg.
1-1 - Biggane punishes missed doubles from McGowan to land double five to level.
1-2 - Biggane lands a 180 before finishing 68 on tops to move ahead.
1-3 - Cork's Biggane opens with another 180 before finishing double nine to establish a two-leg cushion.
2-3 - Double nine sees McGowan hit back.
2-4 - Biggane lands another maximum before finishing double 16 to regain his lead.
3-4 - McGowan takes out a 13-darter on double 16 to respond once more.
3-5 - McGowan lands a 180 of his own, but Biggane finishes a 14-darter on double five to move a leg away from the win.
4-5 - Biggane hits his fourth 180, but McGowan keeps the game alive by finishing 48 on double 16.
5-5 - Biggane misses three match darts, and double 13 for McGowan forces a deciding leg.
6-5 - McGowan misses double ten to take out 83, but Biggane wires tops for a 120 checkout to allow the Balbriggan ace in to seal victory on double two.
partypoker.com World Grand Prix Final
Michael van Gerwen v Robert Thornton
1-0 - van Gerwen lands his opening double on his first visit and then posts back-to-back 180s before taking out 32 for a 14-darter.
2-0 - The Dutchman lands another maximum and finishes double 16 to move two legs up.
3-0 - van Gerwen hits a fourth 180 before finishing tops to claim the set comfortably.
0-1 - The world number one hits another 180, but misses darts at double 16 and eight to allow Thornton in on double five.
0-2 - Thornton doubles his lead in the set, defying another maximum from heavy-scoring van Gerwen by taking out 76 on double eight.
1-2 - Thornton hits a 180, his first, but van Gerwen's third-dart double ten sees him save the set.
2-2 - van Gerwen hits another 180 before leaving Thornton waiting on 28 as he checks out a superb 101 finish.
2-3 - Thornton kicks off the decider with six perfect darts of 160 and 180, and though van Gerwen replies with another maximum, the Scot finishes double 16 to take the set.
1-0 - van Gerwen takes out 89 on double eight to claim the opening leg against the throw.
1-1 - Thornton hits a 180 to leave 101 before checking out the combination for a superb 12-darter to level.
2-1 - Thornton kicks off with another 160 opening score, but van Gerwen's ninth 180 is followed by a 68 finish to move back ahead.
2-2 - van Gerwen misses two darts at tops for the set, and Thornton posts a third-dart double three to level.
2-3 - Thornton opens with another 160 to mean that van Gerwen's tenth maximum comes in vain, with double two giving the Scot the set and a 2-1 lead in the game.
1-0 - Thornton fires in his fourth 180, but a superb 104 checkout sees van Gerwen lead.
2-0 - Double four sees the Dutchman move two legs clear with a break of throw.
3-0 - van Gerwen lands a 110 checkout to claim the set.
0-1 - Double top gives Thornton the opening leg.
1-1 - van Gewen lands his 11th maximum before punishing Thornton's miss at double 12 - for a 101 finish - by hitting double eight.
1-2 - Thornton opens with another 160 score before finishing 54 on tops to edge back ahead.
1-3 - van Gerwen punishes a slow start from Thornton with a 180 - but the Scot replies with two of his own to get back into the leg before five misses at double four from the reigning champion are punished as his opponent lands tops to snatch the set.
1-0 - Double 16 moves van Gerwen ahead.
2-0 - van Gerwen lands his 13th 180 before double four breaks throw for a two-leg lead.
3-0 - The Dutchman levels the match by taking out 96 on double nine - winning his third set without reply.
1-0 - The pair trade 180s before three misses from Thornton prove costly to allow van Gerwen in on double 16.
2-0 - van Gerwen hits his 15th 180 of the game to leave 40, and lands tops for a 14-darter.
2-1 - Thornton hits tops to respond.
2-2 - van Gerwen lands yet another maximum, but missed doubles for the set allow Thornton in for a 118 checkout on tops as he sends the set into a decider.
2-3 - van Gerwen misses double ten and five to finish 80, and Thornton capitalises with a 74 finish on double 16 to move 4-3 up and a set away from the title.
1-0 - Thornton opens with a 160, but van Gerwen hits a 177 to leave 24 before hitting double 12 to lead.
1-1 - Thornton finishes double ten to level.
2-1 - van Gerwen's 17th 180 is followed by tops to edge him back in front.
3-1 - van Gerwen opens with a 160 and adds a 145 score, with Thornton hitting a 180 but unable to prevent the Dutchman finishing double nine to send the game into a deciding ninth set.
0-1 - van Gerwen piles in another 180, but Thornton takes out 90 with a bullseye, double top combination.
1-1 - van Gerwen opens with a 160 score, and returns on double 18 to level the set.
1-2 - van Gerwen misses three darts to win the leg - at double 14 and seven - and Thornton finishes 48 on tops to move a leg away from victory.
1-3 - Thornton hits his ninth 180, and when van Gerwen misses tops to finish 116, the Scot lands double top for a 13-darter to complete an incredible triumph.