American Mikaela Shiffrin (27), the reigning world champion in combined, was sixth fastest in the speed event but was disqualified in the slalom after straddling a gate shortly before the finish line.
Brignone completed the super-G in 1:10.28, 0.71 seconds quicker than Swiss Lara Gut-Behrami (31) and Norway's Ragnhild Mowinckel (30) who were joint second fastest, however, the two speed specialists did not participate in the second leg.
Instead, it was Switzerland's Holdener who won the slalom part, a fourth of a second ahead of Brignone, but the overall margin was too big to threaten the Italian's lead.
Ricarda Haaser (29) from Austria took third place.
"I did two really good runs, super-G and slalom. What was missing in my career was a gold medal and I am so, so excited and happy about today," Brignone said.
"I am really proud of how I concentrated and how my attitude was today in both runs, that was the most important (thing)."
