Nicolo Barella opened a minute after the break in Turin with a crisp volley before Domenico Berardi scored with a penalty.
Belgium hit the wood three times before retreating late through Charles de Ketelaere.
They pushed for an equalizer but Italy, whose 37-game unbeaten streak ended Wednesday by Spain, held out.
After a boring first half of the bronze medal game, Barella sparked the game with a stunning first shot into the lower corner from a corner.
Roberto Mancini’s team doubled their lead straight away when Thibaut Courtois’ glove only managed to divert Berardi’s attempt into the top corner after Timothy Castagne brought down the lively Federico Chiesa.
Belgium continued to dominate possession with Courtois freeing substitute Kevin de Bruyne to find De Ketelaere who beat an otherwise inspired Gianluigi Donnarumma up close.
The Italian goalkeeper had previously fought off former Tottenham defenders Toby Alderweireld and Jan Vertonghen with clever saves.