Fans chanted and sprayed each other with beer
With less than two minutes to go in the final, Slovakia forward Peter Bondra scored to give his team a 4-3 victory.
An estimated 20,000 supporters gathered in Bratislava's main square to watch the game on large screens, chanting "Champion" and screaming in disagreement when the score stayed level.
"This is the best moment in my entire career."
The victory was especially sweet for Slovakia as in 2000 the country lost to former countrymen the Czech Republic.
The game, held in Sweden, was attended by about 1,000 Slovak fans, in addition to Slovak president Rudolf Schuster.
"This is a historic team," Mr Schuster said after the game.
"I told them 'you are a very good example for Slovakia because it's bad when people are dividing (into groups)'. We need to unite one with the other and they set a good example."
The match proved tense from the start, with Slovakia taking the lead a mere 22 seconds into the game, and Bondra adding another goal 12 minutes later.
Russia hit back in the second period, scoring from a misfired shot before Slovakia scored again.
Russia then scored twice to level the score before Bondra's final goal clinched the victory, and pandemonium erupted in Bratislava.
Champagne and beer was sprayed around as ecstatic fans celebrated.
"We've finally showed the Czechs that we can do it and that we are better," fan Peter Toth told the Associated Press news agency, as he carried his nation's flag.
"We all believed that we were going to win."