Compatriot Jaakko Tallus, who was leading after the K90 ski jump had to settle for silver, while pre-event favourite Felix Gottwald of Austria took the bronze.
Lajunen, who finished second at Nagano four years ago, began the cross-country race in third place overall - almost a minute behind Tallus.
But Tallus, who is not renowned for his cross country skills, soon fell behind Lajunen who eventually won the race by 24.7 seconds in a time of 39 minutes and 11.7 seconds.
Gottwald, the current World Cup leader, did well to jump from his 11th place after the ski jump to third.
Lajunen, whose hair is dyed blue and white, grabbed a Finnish flag as he stormed through the final 100 metres.
The Finns gave their country its first one-two finish in the men's event since Heikki Hasu and Martti Huuhtala claimed the top two spots in 1948.