The Thunder won the toss and elected to bat, with Player of the Match Usman Khawaja (85 off 51) returning from Test duties to lead his side to 4-175.
It was a total that proved just beyond the Scorchers' reach, despite a fifth-wicket record partnership for the Club of 137 not out from Cameron Bancroft (75 not out off 56) and Hilton Cartwright (65 not out off 41) taking the side within one boundary of victory.
The Scorchers attack of Mitchell Johnson (0-25(4)) and Joel Paris (0-28(4)) opened well, before Thunder batter Khawaja took to a change to spin, with 19 runs coming off the fourth over.
However, as the hosts closed in on the team 50, Scorchers debutant Matt Kelly (1-32(4)) struck to have Kurtis Patterson (14 from 12) caught behind and the Thunder 1-45.
Sydney's 1-55 out of the powerplay was the side's best performance of the season when batting first and Khawaja continued to surge his team forward alongside Shane Watson (21 off 15).
The Scorchers broke the dangerous partnership when Watson holed out off incoming Englishman Tim Bresnan (2-38(3)) metres in from long off boundary to have the Thunder 2-84, but the danger man was Khawaja.
The Thunder were pushing towards a run rate of 10 an over when Ashton Agar (1-31(4)) made the breakthrough, with Khawaja top edging to the safe hands of Michael Klinger at cover, ending his run with the hosts 3-138 in the 16th.
Cameos from Callum Ferguson (25 off 23) and Ben Rohrer (22 not out from 16) were invaluable for the hosts in reaching 4-175.
The Scorchers stumbled early in their chase, when Will Bosisto (nine off seven) picked out Fawad Ahmed (1-19(4)) at backward square, sending a quick shot into the surprised fielder's hands just centimetres above the ground.
The visitors went from 1-11 to 2-25 inside five overs when Klinger (four off nine) holed out to mid off from Chris Green (1-43(4)).
The Scorchers were on the back foot and found themselves in a deeper hole at 3-32 when Gurinder Sandhu (1-21(4)) trapped Ashton Turner (three off five) in the next over.
It was the Thunder's best performance with the ball in a powerplay, following the same mark with the bat.
The Scorchers required a lasting and damaging partnership to rescue the match and Bancroft and Cartwright emerged as the potential saviours.
Victory appeared a long way off at the halfway mark of the innings, with the Scorchers 4-53 and comparably more than 40 runs behind the Thunder at the same point, but Bancroft and Cartwright began to build momentum.
Bancroft was dropped by Rohrer on 42, before punching a maximum and a four off the next two balls from Green in the 13th over to bring up his 50 from 39 balls.
Cartwright joined in and the pair notched the Scorchers' record fifth-wicket partnership, as they brought up their century as a pair in 65 balls and went on to add 137 not out together.
The equation had been reduced to 31 off the final 12 balls, but some tight bowling from Sandhu restricted the Scorchers to just seven runs from the penultimate over.
The game appeared beyond Perth's reach, until Cartwright hit a four and a six off Mitchell McClenaghan's (1-53(4)) first two balls of the final over, with the third called a no-ball and delivering three runs.
The total to win was seven off two balls and a scurried double from Cartwright left five required for victory off the last ball, or a boundary to force a super over.
However, McClenaghan seized redemption to restrict the pair to a single, resulting in a three-run win to the Thunder.
The Scorchers travel to Alice Springs tomorrow, where they will take on the Adelaide Strikers in a W/BBL double-header on Saturday.