After the sides remained level at 1-1 following normal-time, it was the Algerian side who claimed the title against the CAF Confederation Cup champions.
Abdelmalek Ziaya looked to have registered the winning goal for Setif when he opened the scoring 20 minutes from time.
However, Emad Moteab levelled matters deep into second-half stoppage time to take the showpiece to a penalty shootout.
Full-back Bassem Ali proved to be the fall guy for the Egyptian champions as he missed the crucial penalty to hand the title to Setif, who become the first team from Algeria to lift the Super Cup.
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