Arsenal star Alexis Sanchez struck the winning spot-kick for Chile, as the hosts clinched a 4-1 shoot-out victory when the game ended goalless after extra time.
Sanchez chipped the decisive penalty down the middle past Sergio Romero to spark wild celebrations in front of a 45,000 capacity crowd at the Estadio Nacional in Santiago.
Chile took control of the shoot-out when Gonzalo Higuain blazed his penalty over the bar before Chile goalkeeper Claudio Bravo saved Ever Banega’s spot-kick.
Argentina captain Messi, aiming to inspire the South American giants to a first international title in 22 years, could only look on distraught as Chile celebrated.
The four-time world footballer of the year had repeatedly spoken of his desperation to win a title with Argentina after winning everything at club level with Barcelona.
But the 28-year-old superstar was to suffer more disappointment, only 12 months after enduring another agonising extra-time defeat in last year’s World Cup final against Germany in Brazil.
Chile’s win was their first ever victory over Argentina in the Copa America.