Schalke goalkeeper Ralf Fahrmann saved spotkicks from Kevin Grosskreutz and Ivan Perisic to help his team to the silverware.
"This win is very satisfying, it's super," said Fahrmann, who has succeeded national team 'keeper Manuel Neuer at the club.
Borussia Dortmund, who were aiming for a fourth Super Cup, believed they were the better side.
"I don't think Schalke deserved this," said new signing Ilkay Gundogan, who scored one of his team's penalties. "It's been a long time since I saw so many chances wasted."