Immelman played 32 holes on the final day in Sun City, South Africa, finishing at 17-under-par 271, one shot clear of fellow South African Andrew McLardy and American Bruce Vaughn.
Two weeks ago, the 23-year-old also captured the South African Airways Open. He tied for second in last weeks Dunhill Championship.
I could handle playing 32 holes today, but being in contention for the last three weeks took a lot out of me. Coming down the stretch I was shaking and didnt feel like myself, Immelman said.
A series of weather delays meant Immelman had to complete 14 holes of his third round Sunday morning. He finished with a 65 to claim the 54-hole lead by three strokes over Vaughn.
Immelman maintained that advantage on the back nine at the Gary Player Country Club, but bogeyed the par-3 16th. Vaughn birdied 15 and 16, while McLardy birdied the 17th.
Immelman now led his two pursuers by one with one hole to play.
McLardy hit his approach on the par-5 18th to five feet, only to miss the short putt.
Vaughn was playing alongside Immelman in the final pairing. After the South African ran his birdie effort three feet past the hole, the door was open for Vaughn.
The American, who has been severely hobbled by a botched knee operation, had a 25-foot birdie putt to force a playoff, but he too missed.
Immelman then tapped in for victory.
Ive always believed I can play with the best. It was just a matter of me figuring it out in my own head, Immelman said. I was so young when I turned professional that I couldnt put the pieces together. But yeah, my games certainly at a new level.