Greatness now already assured, Minjee Lee is eyeing golf's fabled grand slam after surpassing revered compatriot Greg Norman as a three-time major champion.

Lee held her nerve to win the mega-money PGA Championship and cement her place in Australian sporting immortality with a steely final round in hot and windy Texas.

Lee had her four-shot overnight lead slashed in half early on championship Sunday before hanging on, then surging gamely for a three-stroke triumph in more extremely trying conditions at PGA Frisco's Fields Ranch East course.

The 29-year-old bogeyed three of the first six holes in an understandably anxious start before steadying to close with a sufficiently sound two-over-par 74 on Monday (AEST).

"It feels pretty amazing. I feel like I really deserve this one and I put a lot of hard work into it," Lee said after joining Karrie Webb, Jan Stephenson and 2019 winner and Perth stablemate Hannah Green as the fourth Australian to win the PGA Championship. "It's just really special. It's just such a great privilege to be able to have my name up with them as well."

Lee finished with a 72-hole four-under 284 total to deny fast-finishing pair Auston Kim (68) of the USA and Thai Chanettee Wannasaen (68) improbable comeback victories at the third women's major of the year.

"Just stick to my game plan. It's a battle against myself pretty much, especially with how tough the conditions were this whole week," the fomer world No.2 said of her final-round approach.

"Not just today. It's just amplified today because it's a major Sunday, but yeah, just be patient, take every shot as it comes.

"I pretty much saw every single leaderboard and I knew exactly where I was, pretty much all of today, so I checked the scores and then I just came back to each shot and tried to execute it the best that I could and I played within myself."

Sunday's victory snapped a 19-month winless run, the longest drought of her decorated career, and secured Australian women's sport's highest earner another monster cheque of $US1.8 million ($A2.8 million).

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Minjee Lee wins Women's PGA Championship

Cementing her greatness, Australian golf superstar Minjee Lee has claimed a historic third career major with a steely victory at the mega-money Women's PGA Championship in Texas.

In adding to her 2021 Evian Championship triumph and 2022 US Open success, Lee completed the third leg of women's golf's grand slam to edge ever closer to a place in the sport's Hall of Fame.

Winning the only two majors to elude her, the British Open and Chevron Championship, remains her "ultimate goal".

"I really wanted to be in the Hall of Fame," Lee said.

"That's why I started golf, and that's why I wanted to be on the LPGA Tour to win a bunch of tournaments and try and get into it."

Just as significantly, Lee joined Webb and Stephenson as only the third Australian golfer in history to win three different major championships.

Lee also eclipsed Norman and David Graham on Australia's all-time majors winning list.

Lee now only trails seven-times major champion Webb and five-times British Open winner Peter Thomson.

Perhaps most gratifying of all, the Perth prodigy also buried the demons from last year's spectacular final-round crash at the US Open.

Lee opened up a three-stroke back-nine lead, only to collapse down the stretch to finish tied for ninth at Lancaster Country Club.

The sister of PGA Tour star Min Woo Lee paid a heartfelt tribute to her family after enhancing her status as Australian sport's highest-earning women's athlete.

"At this point in your career, I mean, my parents have sacrificed so much for me to be here," Lee said with her mother and career-long coach green-side.

"I can't say more things than I've already. It's just extra special that I could win in front of them and obviously wherever Min is, he's supporting me out there.

"He's a social media nut so he's all on top of that, so it is really cool.

"And obviously my dad's back in Oz - I don't know what time it is there - but he's tuning in and they've always got my back, so it's really nice and it's great support and unconditional."