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, Mason Add NABC Honors
Gophers pick up coach of the year and second-team All-District 7 honors Wednesday.
Washington Named Mr. New York Basketball
Incoming Gophers point guard was selected the top high school player in the Empire State this season.
Gophers Fall to MTSU in NCAA First Round, 81-72
Amir Coffey had 17 points to lead Minnesota, while Dupree McBrayer added 16.