Substitute Kevin Gameiro fired home the winning penalty as Sevilla, twice winners of the old UEFA Cup, lifted the trophy for the third time and left Benfica to reflect on their eight successive loss in a European final.
Benfica had the better of the 90 minutes but the confidence seemed to drain out of them in extra-time.
Sevilla won the toss, took the penalties in front of their own fans and Benfica's Oscar Cardozo and Rodrigo had successive penalties saved by Beto to hand the Spanish side the trophy.
There was little excitement in an often scrappy and foul-littered first half until the very end when Benfica fullback Maxi Pereira just failed to lob the ball over goalkeeper Beto who blocked another effort by Rodrigo in the following attack.
Benfica should have gone ahead in the 48th minute when Lima had a shot blocked off the line by Nicolas Pareja after being cleverly set up by Pereira and Rodrigo's follow-up was also blocked.
At the other end, Luisao saved Benfica with a perfectly timed tackle on Jose Antonio Reyes.
Pereira then set up another chance for Lima when he got in behind the Sevilla defence and this time the Brazilian forward completely missed his kick.
Lima nearly grabbed a late winner with a dipping long-range effort which Beto just managed to turn over the crossbar. Then Ezequiel Garay headed over at the far post from a floated cross.
Benfica failed to carry the momentum into extra-time and Sevilla nearly went ahead when Ivan Rakitic sent Carlos Bacca clear down the right but the Colombian fired his just over the bar.
Gameiro fired into the side-netting in the second half of extra-time after another break down the right.
By that time, fatigue had crept in, the pace had slowed and the game was littered with mistakes.
