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Both teams headed into the match at the Snapdragon Stadium in California late on Wednesday with six points, though a draw would have been enough for Japan to take the title thanks to a superior goal difference.
Goals from Yuka Momiki and Toko Koga either side of halftime secured all three points for the visitors against the top ranked side in the world.
Australia and Colombia also took part in the four-team tournament.
"I am proud of my players. They adapted to the team in a small number of training sessions and showed a very smart and brave team style. They came together as the games went on," Nielsen told reporters on Thursday.
The Dane, who coached the Denmark women s team from 2013-2017, was appointed the first foreign manager of the Japanese women s side in December.
"The more you get to know the players, the more you understand them and the more you get to know their individual personalities," he said.
"Some players are shy, some are confident, and some are willing to speak up in front of everyone.
"In the first few days of camp, not many players answered my questions, but gradually they started to do so. Today we are happy to beat the best team in the world."
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