Benfica had stumbled at the last hurdle five times in the European Cup, once in the UEFA Cup (1983) and once in its successor, the Europa League, in 2013 when they lost 2-1 to Chelsea in Amsterdam.
However despite creating the lion's share of chances in a fairly balanced encounter, the 'Benfica Curse' — as their unenvied streak has come to be known — was maintained as Jorge Jesus's men ultimately failed to convert the numerous chances they created at Juventus Stadium.
"It was a great match, a great final and an open game," said Jesus.
"Sevilla started off better, but as the match progressed we improved and we were the better team.
"We showed our power and created chances to score but couldn't. And then in extra time the team that believed more in the penalties was Sevilla.
"In the game, the best team did not win the Europa League."
The match remained scoreless after two 15-minute periods of extra time and when it came to penalties Sevilla — who claimed the second of their two titles from the Europa League's predecessor, the UEFA Cup in 2007 — stepped up to the plate in impressive fashion.
Benfica striker Lima got the Portuguese giants off the mark but after Sevilla striker Carlos Bacca fired into the roof of the net to pull level, Sevilla 'keeper Beto dived low to save Oscar Cardozo's tame shot.
Stephane Mbia then sent Jan Oblak the wrong way to make it 2-1, and after Beto saved Rodrigo's tame shot the title was Sevilla's after Frenchman Kevin Gameiro, a late substitute, gave the Spaniards an unassailable 4-2 lead following successful spot kicks from either side by Coke and Benfica captain Luisao.
Sevilla can now boast winning three titles from Europe's second-tier club competition having won the Europa League's predecessor, the UEFA Cup, twice in succession, in 2006 and 2007.
In 2007 the Spaniards beat fellow La Liga side Espanyol on penalties.
The Andalusians, coached by Unai Emery, become the first champions of the Europa League to win on penalties.
Their triumph this year is all the more impressive as Emery's revamped side, who only finished ninth in last season's Spanish championship, were given entry because two other clubs failed to meet the financial benchmark set by UEFA.
Emery agreed it was a "balanced" encounter, but said: "Sevilla deserved to win. Benfica created their chances but we played really well and resisted them at every turn.
"Tonight we showed we were a team that is united, especially when faced with formidable challenges."