The reigning Tour de France champion broke away in the crucial last kilometre of the 65 km (40.4 miles) street race in Singapore's Marina Bay district.
Battling against a hot tropical sun, the Danish cycling star threw both hands in the air in triumph as he crossed the finish line.
Briton Chris Froome, a four-time Tour de France winner, came in second while Italy's Vincenzo Nibali, who has announced he will retire at the end of the year, finished third.
"It was a very hard race, and luckily, I was in the final breakaway," Vingegaard, 25, of the Jumbo-Visma team, told reporters.
He said he had not been bothered by the 30-degree Celsius (86 Fahrenheit) heat, the race having taken place under clear skies following weeks of monsoon rains.
"It's not like I am not used to it because I think in the Tour de France this year, it was also very hot," Vingegaard added.
The last of the race's 20 laps proved the most crucial around the 3.2-kilometre circuit, part of which was used in the Singapore Formula One Grand Prix less than a month ago.
"That's where you really have to fight for it, and yeah that's what I did," Vingegaard said.
But Froome, 37, of the Israel-Premier Tech team, said he struggled with the conditions and the biggest challenge was the humidity.
"It was a tough race. In the final I just tried to follow the best guys and Jonas... I was just not able to follow. It's as simple as that," he said.
"The heat was really a big factor today. The humidity out here is something else... that made the race a bit harder as well."
Singaporean rider Yeo Boon Kiak initially took the lead in the earlier laps but failed to sustain his pace in the first Tour de France criterium in Southeast Asia.
