It was always a contest between South Africa's bowling and England's batting and the hosts managed to knock down a modest target of 219 with two balls to spare in a humdinger of a match.
With all top batters back in the pavilion, the job to steer the ship to safety was left to lower-order and Gunn kept her head cool and calm to do it with elan.
Anya Shrubsole (4) walked to the crease and hit the ball from Shabnim Ismail to the boundary ropes to finish it off in a sensational manner.
Gunn came up with an unbeaten 27 when wickets were tumbling one after another.
Mignon Du Preez top scored with an unbeaten 76 to lead South Africa to 218 for for six after they decided to bat.
Nevertheless, the Proteas bowlers, living up to their reputation of being the best attack in the tournament, managed to stretch it to the last over.
Gunn, batting at number eight, played a crucial unbeaten 27 run cameo to take her side past the finish line after top- order batswomen failed to convert starts.
Yet again Sarah Taylor, who is in red-hot form, hit a half-century at top of the order to provide impetuous to England chase. She scored 54 off 76 balls with seven shots to the fence.
Taylor and captain Heather Knight (30) then added 78 runs for the third wicket. However England lost three wickets in quick succession and Proteas were back in contest.
But Gunn ensured that hosts England knock off the required runs.
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