Guay clocked 1 minute, 56.80 seconds on the Kandahar course to beat Friday's winner, Andrej Jerman of Slovenia, by half a second.
"It's taken a while, but it's an awesome feeling," Guay said. "It hasn't sunk in yet. There will be a huge party tonight."
Didier Cuche of Switzerland was third in 1:57.33 and stretched his lead in downhill standings.
Bode Miller of the United States did not start because of a neck injury. The top American was Scott Macartney in 23rd place.
Guay was third in Friday's downhill and picked up his first victory with a blazing run on a course that froze overnight. The race was held in bright sunshine and spring-like temperatures.
"The snow firmed up nicely," he said.
The 25-year-old Guay has been steadily improving on the circuit and finished fourth in the World Championship downhill earlier this month in Are, Sweden.
Guay won a combined downhill in 2005 in Val d'Isere, France, but this was his first in a proper downhill and it came on one of the most demanding courses on the circuit.
He topped 75 mph in the steeper upper part of the slope and stayed on a good line all the way.
"It played out at the bottom, I had a good line and brought a lot of speed into it," Guay said. "I took as many risks as possible."
The last Canadian man to win a downhill was Cary Mullen in Aspen in 1994
Guay led a strong Canadian showing, with three racers in the top 10. Jan Hudec was fifth and Manuel Osborne-Paradis seventh.
On Friday, most of the late starters were at a disadvantage because of a rapidly deteriorating course. But the starting order did not appear to be a factor Saturday. Neither of the top three finishers had started among the first 20.
Jerman had another solid run a day after becoming the first Slovenian to win a downhill.
"It was important today to show that it wasn't a one-day wonder," Jerman said. "First and second, it's more than I ever expected."
Overall World Cup leader Aksel Lund Svindal of Norway finished 19th to stay in front with 807 points. Cuche is second with 748.
Cuche leads the downhill standings with 507 points, ahead of Marco Buechel of Liechtenstein at 379. Buechel was eighth on Saturday.
Hermann Maier, the Austrian star who won his first World Cup race here 10 years ago, completed a disastrous two days of racing in 25th place, a slight improvement over his 29th-place finish Friday.
A slalom is scheduled Sunday.