Pennetta's victory gave the experienced Italians an insurmountable 3-0 lead over a young United States team in the best-of-five series on an outdoor clay court at the Rocco Polimeni club.
"We're the world champions, it's simple," Pennetta said. "We've played against some great teams this year."
Pennetta and Francesca Schiavone also scored straight-set singles victories Saturday.
"To represent your country it's something very different," Pennetta said. "We always play for ourselves. Here it's completely different."
"I wanted to come here. I wanted to play for my country," Oudin said. "Other people choose different things. Some people I guess didn't want to play as badly as I did.
"But I think that the team that we had here really wanted to be here. You don't want people here that don't want to be here. Even if you lose, if you give it everything you have, then that's the best you can do."
The U.S. has won a record 17 Fed Cups, but last won the title in 2000.
Italy won its first Fed Cup title in 2006 over Belgium and Justine Henin and lost the 2007 final to Russia.
Without the Williamses, Oudin was the highest-ranked American at No. 49. Alexa Glatch -- No. 132 -- played second singles.
"The main goal is to build the new generation," U.S. captain Mary Joe Fernandez said. "You've seen the new generation this year. There are many other young players coming along as well."
Still, the Americans don't want to close the door for the Williams sisters.
"Serena and Venus are just a different story," Fernandez added. "If they are willing and able to participate, I think that's a great experience for everybody involved in it to learn from."
Pennetta opened the series by beating Glatch, and Schiavone made it 2-0 with a win over the 18-year-old Oudin.
Oudin said she let her team and country down by losing twice. But after scoring an important point against the Czech Republic in the semifinals and having the experience of playing No. 1 singles here, she also had something to be enthusiastic about for the future.
"I think this was a great experience for me," she said. "I'm going to look back on it and someday when I'm in a Fed Cup final again, hopefully I'll be able to pull out the win. It will go my way instead of theirs next time."
The Italians celebrated by launching captain Corrado Barazzutti up and down into the air, then ran around the court dousing each other with water bottles.
"These girls are incredible," Barazzutti said. "They've written another chapter in Italian tennis history. I think they're one of the best teams in the history of Italian sports -- not many other teams have won two titles in four years.
"The first victory was extraordinary and this second one goes beyond expectations."
The 11th-ranked Pennetta opened the series by beating 20-year-old Glatch and the 16th-ranked Schiavone made it 2-0 with a win over the Oudin.
With threatening skies overhead and occasional rain falling, Pennetta overpowered Oudin at times, serving six aces and hitting 26 winners to Oudin's 12.
The 27-year-old Italian used her experience to move Oudin out of her comfort zone, giving the American teenager less time to wind up her big forehand.
The young Americans see the Italians as a model to emulate.
"They are a real team, and I think that is what has really helped them this year," Oudin said. "They do it extremely well. I think that's a huge part of Fed Cup."