Dortmund defender Wukash Pishchek scored an own goal, and the match went into a penalty shootout, where Bayern's goalie Sven Ulreich managed to save 2 penalties, handing Bayern the victory, and their 6th Supercup title.
Dortmund's lead lasted all of six minutes before Robert Lewandowski swept home from close range to equalise from an offside position against his former club.
But Ancelotti said he was "proud" of his side's effort as the Bundesliga champions twice coming from behind to secure the win. "I'm pleased. We played with good concentration", he said.
Mario Gotze was absent from Dortmund's matchday squad, having returned to action during pre-season on the back of five months due to a metabolic disorder.More news: Microbiology Professor Wanted for Murder
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Lewandowski added: "We made a few mistakes but it's the first match of the season". We are Bayern Munich and can not afford so many defeats.
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Ulreich was equally optimistic after playing the hero in place of Manuel Neuer, who is still recovering from a foot injury.
"We know that preseason hasn't gone as well as we had wanted but we saw the Bayern that everyone wants to see, especially in the first half when we had lots of chances", he told ZDF. Unfortunately we conceded two goals, we weren't attentive then. "We have to continue in this manner".
Four more successful penalties followed before Ulreich produced another magnificent save to deny Marc Bartra and hand Bayern a record sixth German Supercup title.