Adam Boyes had put the Iron ahead early in the match at Glanford Park, but Michael Leary quickly levelled for Grimsby.
There were few chances until after the break, when the Mariners stepped it up a level, with the home side only holding on for penalties thanks to a great diving save by Sam Slocombe from summer signing Alan Connell.
There was a certain inevitability to the shootout, with Dwayne Samuels firing well over and Lee Ridley clipping the ball against the crossbar to give the trophy to his former side.