Palace took the lead as loan signing Jean-Philippe Mateta scored his first goal in English football with an improvised finish in the 28th minute.
Brighton improved after the break and pulled level in the 55th minute through Joel Veltman, who swept home his first goal for Graham Potter's side as the ball broke loose in the penalty area.
The chances kept coming for Brighton as they finished the match having had 25 shots at goal.
But Palace, from just three efforts, scored twice, with Benteke popping up with the winner to break Brighton hearts in the 95th minute.
