The scoreline – the same as when Spain beat Ireland – shocked some pundits who thought the Italians had enough to cause an upset.
The Italians thought their Man City Striker Mario Balotelli would be the man to win it for them.
But it was his Man City teammate David Silva who opened the scoring for Spain.
New Barcelona recruit Jordi Alba doubled the lead just before half-time with a blistering run and finish.
As Italy were reduced to ten men through injury, Spain turned the screw – with a double from their Chelsea contingent.
Sub Fernando Torres clinically finished from a through ball to make it 3-0 before setting up another sub, Chelsea team-mate Juan Mata, to fire home from eight yards.
Donegal man Shay said simply: “Congratulations to Spain. They are simply the best team on the planet.”
The result meant Spain retained the title they won in 2008 – to add to their World Cup win of two years ago.