Menzies won seven successive matches in 's-Hertogenbosch to claim the £15,000 top prize.
The Scottish number two averaged more than 101 in his opening-round victory over Nick Kenny before edging Jim Long in a deciding leg.
He then saw off Benjamin Pratnemer and top seed Wessel Nijman 6-4 before beating Jeffrey de Graaf and Kevin Doets to reach his third Players Championship final in his last five events.
Menzies made a fast start in the final, winning the first five legs without giving Van Veen a dart at double.
The Dutchman responded with three consecutive legs, but Menzies won three of the next four to secure an 8-4 triumph.
“I just wanted to win a game today. To go and win another ProTour is awesome. I'm so happy,” said Menzies.
“I think this is my fifth year on the tour and I’ve won four ProTours. That’s not bad, I suppose!
“My aim is to make a good life for myself. That’s the aim that I think is achievable, but winning a major and having a good run at the World Championship would be amazing.
“I’ve put more effort in this year than I ever have because I nearly lost it all and I’m grateful to be in this position.”
Van Veen reached his first Players Championship final of the year after beating Tommy Morris, Daniel Klose, Darius Labanauskas and Nathan Aspinall.
The world number three averaged 104.78 against Labanauskas before recovering from 5-3 down to beat Aspinall in a deciding leg.
He then edged Chris Dobey 6-5 with a 120 checkout before beating William O’Connor 7-5 in the semi-finals.
Archie Self, aged just 16, also impressed on his ProTour debut, beating Pero Ljubic and Karel Sedlacek to reach the last 32.
The ProTour action continues with Players Championship 30 at the same venue in the Netherlands on Wednesday.
Results
Last 16
Cameron Menzies 6-4 Wessel Nijman
Jeffrey de Graaf 6-4 Danny Noppert
Kevin Doets 6-5 Cristo Reyes
Jermaine Wattimena 6-3 Callan Rydz
Oskar Lukasiak 6-4 Dave Chisnall
William O'Connor 6-4 Cor Dekker
Chris Dobey 6-3 Josh Rock
Gian van Veen 6-5 Nathan Apsinall
Quarter-finals
Cameron Menzies 6-3 Jeffrey de Graaf
Kevin Doets 6-2 Jermaine Wattimena
William O'Connor 6-3 Oskar Lukasiak
Gian van Veen 6-5 Chris Dobey
Semi-finals
Cameron Menzies 7-5 Kevin Doets
Gian van Veen 7-5 William O'Connor
Final
Cameron Menzies 8-4 Gian van Veen