Thompson, who placed third at the Women's PGA Championship earlier this year, finished the week at the Blythefield Country Club at 18-under-par 266.
Her score was four shots better than the previous tournament record of 270 set at the inaugural event by South Korean's Lee Mi-Rim and Park In-Bee in 2014 - when Lee beat Park in a play-off for the title.
American Lizette Salas began the day with a four-shot lead and closed with a 1-under 70. She finished tied for second at 17-under 267 with Gerina Piller, who shot a 7-under 64.
Ryu So-Yeon (66) finished three shots back in fourth place at 15-under with Kris Tamulis (68).
Brittany Lang (66) ended in sole possession of sixth place at 14-under 270.
The leading Australian was Sarah Jane Smith, who finished tied for 16th on 8-under after a final round 68.
Katherine Kirk was tied for 69th on 1-under after a closing round 74, while Minjee Lee was three shots back on 2-over after shooting 73.