After taking a first half lead through Richard Garcia, Hammers gave a determined and attacking second half performance against a side who will be facing the very best in the Champions' League this season and proved their quality with two strikes on the counter-attack to take the Out Performance Display Cup back to Holland.
Roeder had made three changes to the team that started the 3-1 defeat at Wycombe on Tuesday night. Out went Sebastien Schemmel, Youssef Sofiane and the injured Don Hutchison, and in came youngsters Anton Ferdinand, Shaun Byrne and Garcia.
And the three new arrivals did their first team chances no harm at all with impressive displays in a keenly-contested first half that Hammers deservedly edged.
With Christian Dailly pushed forward into a midfield role alongside Robert Lee, Joe Cole was given licence to roam forward behind the front pairing of Jermain Defoe and Fredi Kanoute, and the Hammers captain was once again the most inventive and industrious player on the field for most of the evening.
After a fairly tepid opening in which neither side threatened the opposition goal, Cole got the 12,227 crowd off their feet in the closing stages of the first half, as he began to cause problems for the PSV defence and created the opening goal in the 36th minute.
After his free-kick had been headed goalwards by Dailly and tipped over by PSV keeper Van Dijk, Cole then stepped up to curl in the dangerous corner that was flicked on by Kanoute and turned into the net by the knee of Garcia who was lurking eight yards out.
His first senior goal at Upton Park clearly boosted the confidence of the young Aussie midfielder, and he went on to produce an accomplished performance that was one of many highlights for Roeder on the night.
Another was the showing from Ferdinand who, like Glen Johnson last season, belied his 18 years with a mature and cool display at right-back that suggested he may well solve his manager's concerns for that position from the word go this season.
Ferdinand almost created a second for the Hammers just moments into the second half, when his clever ball down the flank released substitute Sofiane, whose lightning pace took him past his marker and into the penalty area, where he found himself one on one with the goalkeeper but poked his shot into the side-netting from an acute angle.
Sofiane had been introduced at half-time in place of Ian Pearce, along with new signing David Connolly, who took Kanoute's place in attack but understandably found it tough in his first taste of action since last season. The Republic of Ireland international showed some decent touches, though, and proved that he is more than willing to work hard for the good of the team.
PSV, who had rested many of their star names ahead of their third and final friendly against English opposition this week - a trip to Tottenham Hotspur on Sunday - made some substitutions of their own in the 61st minute, and one had an almost immediate impact.
Just four minutes after his arrival, last season's Dutch player of the year, Mateja Kezman, found himself with an empty net to tap into after Byrne's misplaced back-pass had wrong-footed David James.
The equaliser was cruel on Hammers, who had looked by far the better side up until then, but they responded in determined fashion and almost restored their lead immediately when Dailly again rose to meet another Cole free-kick but this time directed his header wide.
Cole went close himself with a rasping left-foot drive that just cleared the crossbar seven minutes from time, but just as the Upton Park faithful were getting ready to finish the evening with a nail-biting penalty shoot-out, the visitors struck again in the closing moments.
Kezman turned provider this time, skipping down the left and whipping in a dangerous cross that James could only palm out to the penalty spot, where another high-profile substitute, flying Danish winger Dennis Rommedahl, was on hand to fire the ball low into the bottom corner of the net.
That secured the Out Performance Display Cup for a side who have hopes of a more prestigious prize in the Champions' League this season, but it was certainly harsh on Hammers, who at least deserved to take the game to penalties.
However, the result was never the most important thing in the final pre-season friendly before next week's Nationwide kick-off against Preston North End, and Glenn Roeder will be heartened by the attitude, determination and belief of his young side as the prepare to begin a vital new era in the club's history.
Hammers: James; Ferdinand, Repka, Pearce (Sofiane 46), Byrne,
Dailly, Cole, Lee (Carrick 61), Garcia; Defoe, Kanoute (Connolly
46). Subs unused: Bywater, McMahon, McClenahan, Forde.
PSV: Van Dijk, Lee, Vennegoor of Hesselink, Robben, Van der Schaaf,
Vogel, Colin, Hoogstrate, De Jong, Hofland, Bogelund. Subs:
Thijssen, Ooijer, Park, Kezman, Lucius, Rommedahl, Wuytens,
Jakobsen, Janssen, Gonzalez.
Minute-by-minute:
4 - Good work from Cole in the centre of midfield allows Defoe to gain possession and fire in a low shot from 25 yards out that sails just wide.
25 - Eindhoven go close as De Jong's clever chip finds the impressive Robben, who pokes a left-foot shot just wide of the target from 12 yards out.
35 - Cole's free-kick from the right is met by Dailly, whose powerful header from six yards out is palmed over the bar by Van Dijk.
36 - GOAL! From the resulting corner, Hammers take the lead as Kanoute's flick-on is inadvertently touched into the net by the knee of Richard Garcia. West Ham United 1 PSV Eindhoven 0.
Added time: 1 minute.
Half-time: West Ham United 1 PSV Eindhoven 0.
Second Half:
46 - Double substitution for West Ham, Connolly replaces Kanoute, and Sofiane replaces Pearce.
48 - An excellent chance for the Hammers to double their lead, as Lee's chipped pass finds Defoe in space inside the penalty area but, despite appearing to get the better of Van Dijk, the young striker watches agonisingly as the PSV keeper deflects the ball round the post.
56 - A good move down the right almost reaps dividends for Hammers, as Ferdinand's pass releases Sofiane, and the pace of the young Frenchman takes him past his marker and into the penalty area, where he unfortunately hits the side-netting with his prodded shot from 10 yards out.
61 - Substitution for West Ham, Carrick replaces Lee.
61 - Treble substitution for PSV, Kezman replaces Robben, Janssen replaces de Jong, and Lucius replaces Bogelund.
65 - GOAL. PSV equalise against the run of play, as Byrne's misplaced back-pass catches out James and allows Kezman to tap home an open goal with virtually his first touch of the match. West Ham United 1 PSV Eindhoven 1.
66 - From Cole's free-kick, Dailly has a glorious chance to restore Hammers' lead, but directs his header wide of the target from eight yards out.
83 - Cole collects a short corner on the right and skips past two defenders before curling in a left-foot effort that dips just over the crossbar.
89 - GOAL. PSV appear to nick an undeserved victory in the final minute, as Kezman's cross from the left is pushed out by James to the penalty spot, where another substitute, Rommedahl, is on hand to fire into the bottom corner of the net. West Ham United 1 PSV Eindhoven 2.
Added time: 2 minutes.
Full-time: West Ham United 1 PSV Eindhoven 2.