Price beat the previously unbeaten Michael van Gerwen in the Antwerp final to cap off a tough night on which he beat both Gian van Veen and Jonny Clayton 6-5.
The Iceman started his Premier League campaign with a first-round loss in Newcastle last week, but bounced back in the best way possible.
"Going out in the first round last week upset me a bit. I came here targeting just one game, that's what I do every week. To get through and pick up 5 points and 10 grand - that's even better," the Welshman told reporters after the final in the AFAS Dome.
Price's 6-3 win over Van Gerwen came two days after whitewashing the Green Machine on the Pro Tour - two wins, he says, make him feel untouchable.
"I feel like I can just blank everything out and just stay in a zone," Price said, while revealing the sense of relief after finally getting wins across the line.
"I'm playing good stuff and just not getting over the winning line, but, you know, I can only keep playing like this, and something will happen ... I'm probably playing the best I've ever played, but so is everybody else."
Price got off to a hot start against Van Gerwen, but temporarily lost control of the game after the Dutchman hit consecutive 160 and 167 finishes to cancel out his opponent's hot form.
"That happens, it happened to me all last week in the Pro Tour," Price told Flashscore about what went through his mind after MvG's latest finish. "Just dig in and try to do the best I can. Everybody keeps hitting big scores and big checkouts, so you just have to try and do it."
'I'll be even more relaxed'
Price became the first-ever winner of a Premier League event in Antwerp and plans to take something from Thursday's win to Night Three in Glasgow: "Once I beat Gian, I sort of got relaxed and next week I'll be even more relaxed.
"Hopefully, I'll play a lot better next week, and I won't be chasing points as much as I was this week, so it'll be even better with a couple of 9-darters and hopefully another win."
The high level of darts also pushes Price to new levels, both on stage and behind the scenes.
"The fact that the two Lukes (Littler and Humphries) are playing so well has probably kicked us up the backside. I'm practising more than ever, and it's paying off. I'm sure Michael and everybody else are as well. You can see how well Luke Littler is playing - it's good for the sport, everybody's on their toes."
The Premier League of Darts continues on Thursday, February 19th, at the OVO Hydro in Glasgow, Scotland.