In a repeat of the 1993-94 final, which also saw Zaragoza win, it was the underdogs that came through thanks to superior teamwork, despite going a goal down.
Russian international Alexander Mostovoi, who was instrumental in getting Celta into the final, with a virtuoso performance against Barcelona, opened the scoring in the Olympic Stadium after just five minutes but after that it was Zaragoza who took control.
Mostovoi was at his imperious best as he waltzed around the Zaragozan defence to plant an exquisite shot into the corner of the net.
Zaragoza equalised in the 23rd minute through Xavier Aguado and Roberto Jamelli's spot-kick seven minutes from the interval proved the decisive strike.
Captain Aguado ventured forward to head home Toro Acuna (pictured), a rare effort but one celebrated by the Zaragozan stalwart who was the only surviving member of the 1994 cup winners.
Jamelli competently beat Pablo Cavallero from 12 yards after Jose Ignacio had been brought down in the box by Eduardo Berizzo to send Zaragoza into the break 2-1 ahead.
The second half was a battling affair, with Celta looking to end the season on a high, but it was Zaragoza who earned their win.
Jorge Yordi made sure of Zaragoza's win with a last minute goal, as he raced through unchallenged to fire home and cap a fantastic display, although Pablo was sent off for the ensuing celebrations.
It was Zaragoza's third cup triumph in the last 15 years, as they also won the 1985-86 final, surprising beating Barcelona 1-0.
The club only avoided relegation to the Segunda Liga by a point, but will now join Celta and Valencia in next season's Uefa Cup.
Celta have never won a trophy in their 78-year history but will feel they had the chances to do so on Saturday, only to fail to finish in front of goal.
