Two 500-meter heats are conducted with the times being added to determine the final results and Lee had the fastest clockings in both runs.
Her second trip around the Olympic oval took 37.28 to complete and no woman has ever skated 500 meters in an Olympics quicker than that.
Lee had a two-run time of 74.70, also an Olympic record, and was .36 of a second faster than silver medalist Olga Fatkulina of Russia.
The bronze medal went to Margot Boer of the Netherlands, who came up short in a bid to extend her country's speed skating winning streak at these Games. The Netherlands had won the first three finals conducted in the sport.
Lee's medal was the first of any color won in Sochi by a representative of South Korea, the country that will host the 2018 Winter Olympics.
American Heather Richardson was in fourth place after the opening heat, but she faded to an eighth.
Richardson was trying to become the first American medalist in this event since Bonnie Blair won three 500-meter races in a row. The last of those came in 1994 at Lillehammer.