The 21-year-old was second in this event in Glasgow last year, but went one better to become the first Finnish woman to win a world multi-event title at senior level.
Kate O'Connor of Ireland took silver and the bronze went to the United States' Taliyah Brooks.
Brooks was leading the event after the 60m hurdles, while Vanninen was down in fourth before she, O'Connor and the other American medal contender, Timara Chapman, all cleared a height of 1.91m in the high jump.
The Tampere native then took control of the competition by throwing a season's best 15.81m in the shot put, over a metre further than her nearest challenger.
A best of 6.37m in the long jump was also enough for a first-place finish in the fourth event, 2cm further than Brooks.
That gave her a 94-point advantage over O'Connor going into the final event - the 800m - where Vanninen was able to track the Irishwoman and finish a second behind her, in fourth overall.
Her total of 4821 points did not improve on the world leading 4922 she set in Apeldoorn at the start of the month, but more than enough to secure a first major world title.
O'Connor finished on 4742 and Brooks on 4669 ahead of the rest of the 14-strong field.
With the five gold medals on offer on day one going to five different countries who failed to add a silver or bronze, Vanninen has therefore put Finland joint-top of the medal table overnight.
