It was the first Players Championship event since April and both players had faced an 86-day wait to return to ProTour action.
Cullen beat ex-world champion Michael van Gerwen at the semi-final stage before withstanding a fightback from Price in the decider.
The Welshman trailed 7-4, but then won the next two legs and missed two darts at doubles 12 and six, allowing Cullen to find the winning double at the sixth attempt.
Cullen, who leads the PDC ProTour Order of Merit, now has seven ranking titles to his name.
"I was hoping to win one of the titles this week but I wasn't expecting it on the first day after such a long lay-off," Cullen admitted.
"It felt like a first day back at school, I was very unsure of myself at the start of the day, but it's funny how things work out sometimes.
"I've missed the kind of pressure I felt at the end of the final.
“I fell over the line at the end, but the important thing is I found a way to win."