The 29-year-old Briton had already made history with back-to-back Grands Prix successes in Geneva and Aachen.
He added to those by claiming the Calgary Grand Prix in Canada on Sunday riding Hello Sanctos.
"Words can't describe it. It is the best feeling I've ever had," said Scottish-born Brash.
Brash was the only competitor to ride the second round cleanly and inside the time limit as he claimed victory and the Rolex Grand Slam.
"I didn't think it could be done. It means everything," he said.
Brash has been ranked world number one since November 2013 and the West Sussex-based rider won team gold at the London Olympics in 2012.
"What can I say about Sanctos, he is the horse of a lifetime," he added.
"He was unbelievable in the second round and he tried his heart out."
Scott Brash won showjumping's biggest individual prize of 1m Euros (£735,000) by becoming the first rider to win the sport's grand slam.