Vanenburg signed for PSV Eindhoven for 1986–87, netting nine goals in 34 matches in his first season, which ended in league conquest. He was part of the team that won the treble the following campaign, with the player appearing in the final of the European Cup and converting his penalty shootout attempt against S.L. Benfica. The backbone of this treble winning team was formed by many of his former teammates at Ajax, including Frank Arnesen, Kieft, Ronald Koeman and Søren Lerby.