Four late free throw conversions by Malik Smith in the final 30 seconds and one by Elliott Eliason with 33 seconds, enabled the Gophers (13-3, 2-1 Big Ten) to hang on after taking its first lead of the second half with 1:43 remaining.
Tim Frazier scored 20 points for Penn State (9-7, 0-3) but was unable to finish the game after injuring his right leg with 2:08 left and Penn State leading 59-57.
Mathieu forced back-to-back Penn State turnovers, including a strip of John Johnson and his ensuing basket gave the Gophers a 63-60 lead and forced Penn State to foul.
The Nittany Lions' Allen Roberts missed a game-tying 3-point shot with 1 second to go.
Minnesota, which has won 30 out of 40 games in its series with Penn State, also got 11 points and 12 rebounds from Eliason.
Pitino Blog: Scrimmage Recap
Coach Pitino breaks down the good and the bad from Sunday's closed scrimmage against Creighton.
Mason Named to Cousy Award Watch List
Nate Mason has been selected among the top collegiate point guards heading into the 2017-18 season.
Barclays Center Classic Tickets On Sale Friday
Fans can secure their seats for the two-game Barclays Center Classic next month in Brooklyn, N.Y.