In a thrilling five-goal rollercoaster, the Warriors were all smiles at the end of the ride, while poor Athletic felt sick.
The visitors had much to cheer after going in front after 18 minutes when Steven Swinglehurst headed them into the lead.
But Stenny hit back soon after when Harrison Paton drilled a shot high into the net after good work by Colin McMenamin.
The home side had the momentum and went close through Paton and Alan Cook before the break - but Annan held firm and went inside level and with hope of a turnaround.
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That hope only lasted seven minutes after half-time as Owen Moxon dumped Andrew Dallas in the box for a spot-kick, which Paton fired home low into the corner.
But rather than lose heart, Annan regrouped and levelled the scores just after the hour mark as Aidan Smith struck from 10 yards out. Game on again.
With time running out and with both dugouts playing all their cards, Stenny ace Ferry popped up in the final minute to net the winner to the delight of the Warriors and their followers.