The Argentine number 7, playing for the first time at the event, held off a fightback from Robin Söderling, who had been seeking to give home fans their first local champion since Thomas Johansson in 2004.
Nalbandian has started his autumn indoor season on the best possible note, which he believes bodes well for Madrid after the confidence-boosting victory.
A year ago, Nalbandian dominated the autumn European campaign, winning Madrid and Paris Bercy back-to-back with two victories each over Rafael Nadal and Roger Federer.
“I’m going with confidence, I’ve won my first indoor event of the season, so it’s a great start for me,” said the Argentine whose only other trophy in 2008 came on clay in Buenos Aires in February.
“I hope to defend my trophy. Madrid has some altitude, maybe 5-600 metres.
“But I’ll have a few days to get used to it. There is no extra pressure on me, I’ll just try and play my game 100 percent when I’m on the court.”
Nalbandian fired 13 aces and broke five times in the Swedish final while Söderling put in 18 untouchable serves.
Nalbandian is thick in the race for the season-ending, eight-man Masters Cup in Shanghai in less than a month.
But the 26-year-old is unlikely to make the trip to China, with his focus on the key Davis Cup final against Spain at Mar del Plata in his homeland.
Nalbandian ran away with the opening set in just over 20 minutes, breaking his 35th-ranked opponent twice.
But after getting up an early break in the second, Söderling clawed it back for 4-all, securing the set with a break of the Argentine in the final game.
The third ran with serve until Nalbandian took a 4-3 lead after Söderling had salvaged three break points. Nalbandian then polished off victory in 1hour 37min on his first match point.
Söderling was playing at the Kungliga Hallen for the sixth time and now stands 13-6 at the tournament. Nalbandian stands 34-13 for the season.
Söderling had come to the court without once dropping serve all week, winning 37 straight service games.
Nalbandian heads on Monday to Madrid, starting in the second round against either Rainer Schüttler or Tomas Berdych.