Menzies beat fellow Scot Peter Wright 8-3 in the final with a confident display as he averaged an impressive 107.
The 35-year-old combines his darts career with a job in plumbing, but is now ready to hang up his tools to spend more time on the oche.
“I’m quitting my job soon and I’m going to take darts full-time because I’m in a situation which is a good situation,” Menzies told the PDC.
“To win my second [Players Championship] title shows it’s not luck. I feel I’m going in the right direction.”
Earlier, former world champions Michael van Gerwen and Gerwyn Price were also knocked out in the first round.
Van Gerwen lost a thriller 6-5 to fellow Dutchman Maik Kuivenhoven while Welshman Price was beaten 6-4 by compatriot Rob Owen.
World number one Luke Humphries exited the tournament in the second round after a 6-5 defeat by fellow Englishman Brett Claydon.
There are 34 Players Championship events across the year, with the competition’s finals held in Minehead in November.
The second of the Leicester double header will take place on Wednesday, 9 April.