Rory McArdle headed Rochdale in front at the near post but Nathan Stanton diverted a cross into his own net with his hand for Stockport's equaliser.
Anthony Pilkington's superb header went in off the crossbar to put the Hatters ahead early in the second half.
Liam Dickinson scored the third with a near post strike before Adam Rundle's awesome volley ensured a tight finish.
The match was an even contest until Stockport took control after the break to secure their first win at Wembley at their fifth attempt.
Manager Jim Gannon had played in all four previous defeats but can savour a deserved victory for his team in what was the most exciting play-off final of the weekend.
Counterpart Keith Hill had breathed new life into a Rochdale side that has won promotion just once in their 100-year history.
And the positivity he has instilled in his players was evident as his team rallied from 3-1 down to ensure a grandstand finish after Rundle's volley.
But Hill must now gear his team up for their 35th straight season in the bottom tier of the Football League after a final in which his team struggled to cope at times with Stockport's superior passing and movement.
Both teams enjoyed early periods of possession but found it difficult on the greasy Wembley surface.
It took a considerable period of time for the final to come to life, with neither side able to make much of an impression on the other's goal in the opening 20 minutes.
And it came as no real surprise that the opening goal came from a set-play.
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Chris Dagnall saw a long-range strike deflected inches wide of Conrad Logan's goal - and from the subsequent corner McArdle climbed highest at the near post and connected with a thumping close-range header.
Logan appeared to be impeded as he tried to reach the ball but such was the dominance of McArdle's leap that the Hatters keeper was always unlikely to reach the ball ahead of the Stockport player.
Stockport, who won both league meetings against Dale, were stunned into life and Pilkington came within inches of a leveller with a curling free-kick.
And it was from the Stockport's first corner of the game that Gannon's side equalised.
Rochdale failed to cover a short corner routine and Stanton diverted the ball into his own net from Tommy Rowe's teasing cross.
As with Dale's opener there appeared to be a hint of a nudge from an opposition player but the goal stood.
There was nothing controversial about Stockport's second, with Pilkington showing excellent technique to head Michael Rose's cross into the net from 12 yards after the ball bounced off the skiddy turf.
If the first half had been an even contest, the Hatters had started well after the interval and continued to play the more composed football after their 49th minute goal.
But Rochdale skipper Gary Jones went close with a low strike that just flew wide of Logan's goal.
Even so, Pilkington was becoming an increasingly influential figure for Stockport and it was his pass that led to Dickinson striking the decisive third for the Hatters.
Dickinson had been relatively well marshalled by Stanton but the Stockport striker stole a yard and struck the ball crisply first time with his right foot past Tommy Lee at the near post.
The tie appeared to be beyond Rochdale but Rundle struck the ball beyond Logan from 18 yards to ensure a nervous finish for Stockport and a sense of drama until the final whistle.
Stockport: Logan, Rose, Owen, McNulty, James Smith, Dicker, Gleeson (McSweeney 75), Rowe, Turnbull, Pilkington, Dickinson (McNeil 90).
Subs Not Used: Taylor, Tunnicliffe, Proudlock.
Booked: McSweeney, Logan.
Goals: Stanton 34 og, Pilkington 49, Dickinson 67.
Rochdale: Lee, Ramsden, Kennedy, Stanton, McArdle, Rundle, Jones, D'Laryea (William Buckley 73), Dagnall, Le Fondre (Howe 57), Higginbotham (Muirhead 46).
Subs Not Used: Holness, Doolan.
Booked: Stanton, McArdle.
Goals: McArdle 24, Rundle 77.
Att: 35,715