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.
Minnesota holds off Vanderbilt in 56-52 win
Minnesota erased a 12-point first half deficit and hung on Saturday to defeat Vanderbilt 56-52.
Preview: Gophers vs. Vanderbilt
The Minnesota men's basketball team returns to Sioux Falls to face the Commodores on Saturday.
Pitino Blog: State of the Gophers
Coach Pitino breaks down the first seven games of the season and evaluates the team in his latest blog.