The American used to watch the event on television as a child and fell in love with Wentworth Golf Club when he finished in the top five on his debut two years ago.
The 34-year-old said he would rank a win at European Tour HQ alongside a victory at The Players Championship - the event known by many as the 'fifth Major' - and he carded a closing 65 to finish at 19 under and beat Thailand's Kiradech Aphibarnrat, home favourite Laurie Canter and Welshman Jamie Donaldson by one shot.
In the race for an automatic place in Padraig Harrington's Ryder Cup team, a closing 72 was enough to see Bernd Wiesberger edge out Shane Lowry and join Jon Rahm, Tommy Fleetwood, Tyrrell Hatton, Rory McIlroy, Viktor Hovland, Paul Casey, Matt Fitzpatrick and Lee Westwood as the nine qualifiers.
Horschel already has a World Golf Championships title under his belt this season and this victory moves him up to second on the Race to Dubai Rankings in Partnership with Rolex.
He becomes the first American to win a Rolex Series event and just the second to win this event after the great Arnold Palmer in 1975.
"It's been an unbelievable week," he said. "I'm excited to be the 2021 BMW PGA Champion.
"This event to me after I left here in 2019 was an event I wanted to win in my career before it ended.
"Adding my name to Arnold Palmer, that's legendary stuff. That guy, if it wasn't for him, we wouldn't have this modern era of golf to play in front of thousands of fans and big sponsors. Tiger Woods took it to another level but Arnie is the one who started it. So to have my name on that trophy next to his being the second American to win this event here at Wentworth is pretty special
"As I've said two years ago and as I've said this week, the crowds are absolutely unbelievable here.
"I love watching their sports over here. They have a great passion for their teams and their national teams and they really get behind them. So I understand that, I can embrace that, I love that. I think I've just done a really good job of embracing the surroundings and the people, and I think they have taken kindly to me and I appreciate that."
Aphibarnrat put his opening tee shot to ten feet and then reeled off a hat-trick of birdies from the fourth: two putting the par five, putting a tee shot to 12 feet at the fifth and leaving himself a three footer at the next to join the lead.
A 12 foot putt at the seventh put him ahead on his own but as he reached the turn at 15 under, there were 13 players within three shots.
Horschel was one of them and after making a seven footer on the third and setting up a birdie on the next with a delicate chip, he put an approach to tap-in range at the sixth to join the lead.
I'm excited to be the 2021 BMW PGA Champion. This event to me after I left here in 2019 was an event I wanted to win in my career before it ended
But Aphibarnrat holed from nearly 30 feet at the 11th to edge back in front and when he rolled in an eagle from 18 feet on the par five 12th, the lead was up to three shots.
Canter had bogeyed the first and third but hit back on the second and fourth before catching fire before the turn.
Perfect drives into the fairway left him between 130 and 140 yards into the sixth, seventh and eighth and he put all three approaches inside 15 feet for a hat-trick of birdies to cut the lead to two.
He put his tee shot to tap-in range at the tenth to get within one and Horschel joined him thanks to an approach to four feet at the 11th and two putts from off the green at the 12th.
Aphibarnrat then made a ten footer on the 16th to lead by two again before Canter found the green in two at the 12th and trimmed the advantage once again.
The leader put his ball into the bushes at the 17th to drop a first shot of the day and with Horschel putting an approach to eight feet at the 15th, there was a three way tie at the top, with Aphibarnrat in the clubhouse at 18 under after a 64.
Horschel almost found the water off the tee at the last and had to lay up but put an exquisite third to tap-in range to take the title, with Canter parring his way home for a 67.
Donaldson was on the coat-tails of the leaders on the front nine, getting up and down for a birdie at the fourth and putting an approach to 15 feet at the sixth.
He holed a 35 footer at the tenth and took advantage of the 12th, and the man who finished the week 12 under for the last five holes took advantage of the closing par fives to jump into a share of second with a 66.
Bezuidenhout carded a 67, with Johnston and Rose going two shots better and 54 hole leader Laporta finishing his week with a 70 to finish one ahead of American Sean Crocker, Belgian Thomas Pieters and India's Shubhankar Sharma.