Donnarumma saved two penalties in a 3-2 shootout success over England in the final on Monday (AEST), as Italy became European champions for the second time after a 1-1 draw at Wembley.
The 22-year-old, who is set to join Paris Saint-Germain following the expiration of his Milan contract, denied Jadon Sancho before keeping out Bukayo Saka's penalty, which the Arsenal teenager needed to convert to keep England's hopes alive.
It sent the Wembley crowd from euphoria to despondency, with Jordan Pickford having just kept England in it with his second save of the shootout – the Everton goalkeeper parrying Jorginho's effort onto the post.
Italy have now won six major international tournaments, while they became the first team to win two shootouts in the same edition of a European Championship.
Donnarumma, meanwhile, has won all five of the shootouts he has been involved in with club and country so far in his career, and Bonucci, who scored the equalising goal to cancel out Luke Shaw's opener, compared the youngster to an Azzurri legend.
"I was lucky because I played with Gianluigi Buffon, now I play with Gigi Donnarumma – it is the same!" Bonucci told ITV Sport.
Along with fellow veteran campaigner Giorgio Chiellini, who at 36 years and 331 days is now the third-oldest player to appear in a European Championship final, Bonucci put in a towering display at the back for Italy.
Kept under wraps by Italy's wily defenders, England talisman Harry Kane failed to muster a shot or create a goal-scoring chance for only the second time in his 61 appearances for the Three Lions.
In the build-up to Sunday's showdown, Chiellini revealed Italy's squad were puzzled when Roberto Mancini outlined his intention to win Euro 2020 upon taking charge three years ago, but the Azzurri have been a joy to watch at the tournament and ultimately deserved their triumph, even if it came the hard way. Indeed, Shaw's opener was the quickest goal scored in a European Championship final.
"Anything is possible," added Bonucci, who became Italy's outright top appearance maker at the European Championship with what was his 18th game in the competition.
"England scored after two minutes, it was difficult to ask, all of the fans give their energy into the battle. It was important to be calm, we start to play, play, play and play. We were calm at the end of the first half, we talked altogether – we have to play, play, play. We find the right pass, find the right shot, this is the way to win.
"History. It is a dream come true. We feel some magic when we started this stage. We feel inside to come to Wembley, it is so difficult. We are more than happy. We see the image of [Fabio] Cannavaro holding up the World Cup – we are lucky."