Price was largely untroubled during the second and final day of the event, which he began with a stunning performance to thrash Dimitri Van den Bergh 6-1.
The Welshman was unable to reach the same scoring heights against a wasteful Michael Smith in the semi-finals, but impressed when bossing the final to beat Cross 8-5 and gain revenge for last week's defeat in New York.
Price had been 5-1 up against Cross only to lose 8-7 but having won the opening four legs here, this time he was always in control despite an attempted rally by his opponent.
"I'm just struggling to get over the winning line, I wanted to win a trophy just to give me a little boost of confidence," Price told ITV. "Chuffed to bits."
Price, winning in Copenhagen for the first time, added: "You need a bit of luck in tournaments, I haven't had much luck over the last couple of months. I think my luck came in that Michael Smith game, he missed a lot of doubles.
"I'm just glad to win another final, another trophy in the bank. I'll push on from here."
Cross averaged over 100 in his two matches prior to the final but couldn't score heavily enough to keep tabs on Price this time, despite producing a 170 finish to the delight of the locals.
"I'm happy for Gezzy," he said. "He plays well every week and he deserves that. It'll stop him moping like Daryl Gurney!"
The final word belonged to Price, who offered a word of warning to his rivals.
"I know I've been playing well, I just haven't been getting results. It's really frustrating.
"My game's in a good place. There's a big back-end of the year coming up, I'm ready for the big tournaments."
Mr Vegas Nordic Darts Masters results
Quarter-finals
- Gerwyn Price 6-1 Dimitri Van den Bergh
- Michael Smith 6-3 Nathan Aspinall
- Rob Cross 6-2 Stephen Bunting
- Luke Humphries 6-1 Johan Engstrom
Semi-finals
- Gerwyn Price 7-3 Michael Smith
- Rob Cross 7-4 Luke Humphries
Final
- Gerwyn Price 8-5 Rob Cross
Fast Results
Scores
Racecards 
