Ledecka - better known as a world champion snowboarder - was among the later starters in Saturday's race, with all of the supposed medal contenders having posted times and defending champion Anna Veith holding top spot.
The contrast between the packed houses at the Phoenix Snow Park for the snowboard events and the sparse crowds at the men's downhill - won by 35-year-old Aksel Lund Svindal - was marked, however, suggesting a sea change in South Korea at least.
"It's definitely shocking, in the Olympics a lot of weird things happen", said Vonn, the downhill champion in Vancouver eight years ago.
She added: "I was probably the only snowboarder on site. I'm really trying to win and do a good run every time, but I didn't really realise that this really can happen".
Swiss racer Michelle Gisin dismissed the idea that the design of the course could have contributed to Ledecka's shock win. "Better stay with us and don't go snowboarding".
A shell-shocked Ledecka, said: "All the other girls didn't risk a lot".
The super-G is the more technical of alpine skiing's speed disciplines and not the American's best event, but Vonn still entered among the favorites on a run of promising form in her first Olympic race since 2010.
Snowboard specialist Ledecka has never finished on the podium in World Cup events, her best result being a seventh-placed finish in the downhill past year.
"She is multi-talented. I followed her, and thought it was a matter of time before she'd end up further in the front". Vonn drew the first starting position and was about to post a strong run when she lost control three gates from the finish and almost crashed.
And Switzerland's Mathilde Gremaud took Olympic freestyle silver in the women's ski slopestyle on Saturday, just a day after being taken to hospital after a concussion scare.
"My first reaction was, is this possible?", the 28-year-old said. "It's down a hill, both of them", she said.
Shaking her head, hands to her face, she edged over to her coach, who consoled the weeping racer, one of the most recognisable faces at the Olympics. Because over there, they'll certainly be asking, "Does this skier really think she's going to beat all of us?"
As the Austrian camp celebrated, there was bad news to come in the form of rank outsider Ledecka. If there is, I hope I'm there, because it'll make North Carolina State over Houston and Buster Douglas over Mike Tyson and the 1980 USA hockey team over the Russians seem quaint. Vonn was first out of the gate and made a mistake, which led to her time being surpassed pretty quickly.
On Friday night, Vonn said on her Twitter account: "I will give it everything I have with no regrets".
The 33-year-old has won a record four overall World Cup titles.
Vonn will have another shot to medal in the downhill.