The US Open champion hit a four-under-par final round of 66 to chase down world number one Day and win by one shot in OH - his first tournament since his maiden major win last month.
Dustin Johnson teed off the 18th hole with a one-shot lead over Day, but clipped a tree on his second shot and carded a bogey five to end his round, which dropped him into a tie for the lead.
"I had Rory two shots behind me but I tried to play my own game, hit a lot of fairways and greens", said Jaidee, "and I knew this week I was putting well".
"Disappointed, but I've got to try and focus on what I did great this week, move on, and try and get better for the next one", Day said.
He looks like the player to beat at Royal Troon with a strong combination of driving, wedges and - finally - getting some putts to fall.
"We all know how good D.J.is, and he's shown it the last two weeks", Piercy said.
Johnson birdied three of the last six holes for enough of a cushion to allow for a closing bogey and still win with a 72-hole total of six-under 274 at Firestone Country Club in Akron, Ohio. Piercy, who tied for second at the U.S. Open, shot an even-par 70.
Dustin Johnson has replaced Jordan Spieth as the world No2 - the highest world ranking position of his career the reward for a stunning spell of form. Overnight leader Jason Day finished three shots back on -3.
Piercy almost overcame back-to-back bogeys, but two good looks at birdies burned the edges on the 16th and 17th holes, and a birdie on the closing hole made the deficit one shot and made Piercy a runner-up for the second straight week.
The only highlight of the front nine was a birdie on the 206-yard par-3 fifth when he made a putt of just over 6 feet. I'm also making the putts I'm supposed to make. He has only three finishes outside the top 20 in the a year ago on the PGA Tour. Still a bit wobbly kneed, the boy reached the curb and appeared headed for imminent wipeout when his dad nonchalantly lunged from some 10 feet away and with a swooping paw lifted him into the air without breaking stride and without ever looking the least bit anxious. Day's last birdie came at the 10th hole, and he finished bogey-double bogey-par-bogey. I felt kind of loose in my swing, and I started to really pick lines, trust it, and commit through the ball, be more aggressive through the ball, and today I was able to hit both ball flights with my irons, trust them, and pull them off, which are really good shots that I can take forward.
Piercy eagled the par-5 second hole, blasting out of a greenside bunker and into the cup from nearly 50 feet away.
He told worldgolfchampionships.com: "I hit some pretty errant shots out there, but the short game saved me".