Stenson ended on a 17-under 271 total for the co-sanctioned European and Sunshine Tour event.
South African Thomas Aiken was third on 13-under along with German Martin Kaymer. Charl Schwartzel was fifth on an 11-under total for the week.
Stenson began the final round with a three-stroke cushion over playing partner Coetzee.
He got off to a solid start with a birdie on the par-five third, while Coetzee holed from off the green for eagle to pull within two.
On the par-three ninth, Stenson pulled his tee shot into a hazard and could manage only a double bogey as the pair went to the back nine tied on 14 under, with Stenson holding on to seal the victory.
It was his first win of the year as he looked to finalise a spot in the Dubai World Championship next week.
Stenson came into the week in 59th place in the Race to Dubai season-long moneylist.
“I was 59th in the race to Dubai so I needed a good week, and to get my second win in South Africa is great. I'll be hoping for a few more,” Stenson said.
The Swede also praised the performance of Coetzee who kept up the pressure. “He's a great player and he had a great round yesterday and I made it a little bit difficult for myself in the middle of the round, but I was hanging in there and stayed patient.
“The turning point was on 15, in the bunker, where I got it up and down for birdie. Then I made birdies on 16 and 17 to seal the deal.
"I played well to shoot 17 under par around here. Sunday saw the winds increase and made scoring difficult."
Stenson said the conditions were tougher on the final day.
“The pins were tucked away and whenever you missed you had some really tough up and downs,” he said.
Ranked fourth in the world in 2009, Stenson plummetted to outside the top 200 in 2011.
Coming into the week at 112th, his ranking will again improve dramatically. “2011 in particular was a tough year, and not much happened for me on the course.
"I've done a lot of work this year and I've made good progress this season. "I thought I was getting closer and closer and I'm just delighted to get a win before the end of the year.” – Sapa