The 23-year-old completed what was just her fifth half marathon in one hour, four minutes and 52 seconds – 14 seconds quicker than the record set by Peres Jepchirchir earlier this year.
And she also clocked splits of 30:05, 45:37 and 1:01:25 to break the 10km, 15km and 20km world records on the way.
“I only wanted to improve my time. This is a surprise for me,” Jepkosgei said.
“I didn’t know I would break the world record today.
“But the conditions were good for me because I’m used to training at this time of day.”
Defending champion Violah Jepchumba finished second – 30 seconds back – and Fancy Chemutai third, with America’s sixth-placed Jordan Hasay the only non-Kenyan in the top 10.