Dutchman MVG triumphed 11-10 in a sensational final which saw Wright miss six darts for the biggest crown of his career at 10-9 ahead.
Van Gerwen seized his moment, drew level and then triumphed with a double four finish on a checkout of 88 to bank the £250,000 first prize.
“It was a great final. I don’t know how he missed six darts for the match – and sooner or later he is going to win a big major.
“I thought it was all over for me,” said Van Gerwen, who defeated Gary Anderson 10-7 in their semi.
Snakebite said: “I have to learn from this. But I cannot believe I missed that many darts for a double.”
Wright, who beat Phil Taylor 10-9 in their semi on this amazing play-off evening, collects £120,000 after a game where he led 3-0 and 7-2 before Van Gerwen stormed back.
Taylor had his moments in their semi, having hit back from 4-0 down, but his defeat meant the end of his League career after 207 matches in the competition with his decision to retire at the end of the season.
The Power said: “When I am on the stage, I am fine, I don’t think about missing it. Give me a couple of years and I will probably miss it.”