PSG has now won the season-opening cup on 14 separate times.
Paris Saint-Germain required a stoppage-time equaliser followed by a successful spot-kick decider to overcome their arch-rivals in the Gulf and capture a fourth straight Trophee des Champions title.
The Champions League holders appeared to be coasting towards a comfortable triumph in the match featuring the French league winners and the French Cup winners after the French winger found the net early on.
Yet, Marseille fired two times in the closing moments to take a shock advantage. Initially, Mason Greenwood scored from the penalty spot, before Willian Pacho unfortunately directed the ball into his own net for an own goal.
In a remarkable turn of events, the Portuguese striker grabbed a crucial equaliser in the dying seconds to send the match into a deciding shootout. The Parisian shot-stopper Chevalier then stood as the key figure, stopping crucial kicks from Matt O'Riley and Hamed Traore.
From the spot, Goncalo Ramos, the midfielder, the full-back, and the young talent all converted successfully for PSG to seal a 4-1 shootout win.
The record champions Paris Saint-Germain, who faced last season's Ligue 1 second-placed team Olympique de Marseille after completing a league and cup double, have now lifted this trophy for the 12th time in the past 13 seasons.