Cochran-Siegle beats Vincent Kriechmayr and Adrian Smiseth Sejersted to become first American winner on the Stelvio since Bode Miller in 2007.
The 28-year-old was super-smooth on the top half of the notoriously tough Stelvio slope, and kept that going to win by a huge 0.79s from Austria's Vincent Kriechmayr.
Cochran-Siegle had his first podium finish just 10 days ago when he was second in the Val Gardena downhill.
After going quickest in both downhill training sessions at the weekend, he has become the USA's first winner on the Stelvio since Bode Miller in the 2007 downhill.
He is also the first American man to triumph in 2020 after Tommy Ford took last December's Beaver Creek giant slalom.
Cochran-Siegle told FIS afterwards, "It's definitely a shock to me. I had a good Super G race in Val Gardena but being consistent and having a good competitive approach I've been a little bit off in Super G.
"In a way it made it easier, not feeling like I had pressure, understanding the hill, understanding my own skiing... It's pretty spectacular and it's still not really registering." - Ryan Cochran-Siegle
Overall World Cup leader Alexis Pinturault was first out of the start gate and finished in 12th place.
Caviezel's lead over Kilde in the Super G World Cup standings has been reduced slightly to 53 points.
The Norwegian also made up ground on Pinturault in the defence of his overall World Cup crown, closing the gap to 37.
'RCS' has skiing in the blood with mother Barbara Ann Cochran winning slalom gold at the 1972 Sapporo Olympic Winter Games.
This has been his breakout season, backing up his eighth place in the Val Gardena Super G with second place behind Kilde in the downhill.
That race on the Saslong showed the American team was in great heart with Bryce Bennett tied for fourth and Jared Goldberg taking a career-best sixth place.
He was only 29th in the Alta Badia giant slalom, but speed is definitely Cochran-Siegle's forte.
And a silky-smooth ski on the Stelvio, in marked contrast to some of his more aggressive muscular rivals, saw him claim the first World Cup Super G victory by an American man since Miller at in 2006.
Now he has a great chance to complete a quick double in Wednesday's downhill on the same slope.