Hsieh, of Taiwan, and China's Peng, both 28 and born four days apart, extended their win-loss record to 12-0 in doubles finals with their victory on the Paris clay, building on the Wimbledon title they lifted last year.
The Italian pairing, seeded second, had won four of the last eight grand slams, including the 2012 Roland Garros crown and this year's Australian Open.
"Don't be sad... you guys will win much more than us, so let us win this one," Peng said to her opponents at the trophy presentation on court. "It is the dream to win."
(Reporting by Alison Williams; editing by Sudipto Ganguly)