The 24-year-old Belgian, who was fourth in the Olympics, finished with three birdies for a 6-under 65 on the day and a 17-under total of 267 to beat Bradley Dredge by one stroke. The Welshman finished in style with a 30-foot birdie putt for 67.
Adrian Otaegui of Spain and David Lipsky of the United States were tied for third with 269, after a final round where rain and thundery conditons halted play for more than four hours.
It was Pieters' second appearance at the Himmerland Golf and Spa Resort, where he tied for 35th last year. His winning total is the lowest ever at the Made in Denmark and he also became the youngest winner of the tournament.
''It's all about winning tournaments,'' Pieters said. ''That was one of my goals, to just have one every year, just so you know you're improving and you can win. That's very important.''
Asked if his victory would create a headache for Ryder Cup captain Darren Clarke, he answered: ''I would think so.''
Clarke is scheduled to announce his three picks on Tuesday for Europe's contest with the United States at Hazeltine from Sept. 30 to Oct. 2.
''He (Clarke) has got plenty of good players to pick from, so if he doesn't pick me, then so be it and I'll work my butt off to get there in the next one,'' Pieters said. ''But I've done all I can now and I'm just really pleased with this win to be honest.''
Pieters started the final round one shot behind the 43-year-old Dredge, who finished runner-up at Himmerland for the second time.