The record was set by the World Team '06, an informal association of skydivers from 31 countries, and certified at the event in northeastern Thailand by judges from the Switzerland-based Federation Aeronautique Internationale.
B J Worth, the World Team skydive director, said: "It was beautiful. It was one of my absolute favourite dives of my life."
He said that to set the record, "100% of the people in the air have to be holding hands, even if only for a split second".
The group had failed to link up completely for a measurable amount of time in two earlier jumps on Wednesday.
They had made three failed attempts on each of the previous two days.
The previous record, of 357 skydivers over Takhli, Thailand, in February 2004, had also been set by the World Team.
"It was beautiful. It was one of my absolute favourite dives of my life"
B J Worth,
World Team skydive director
The latest attempts were organised to honour Thailand's King Bhumibol Adulyadej, the world's longest-reigning monarch, who celebrates 60 years on the throne this year.
Five C-130 Hercules planes provided by the Royal Thai Air Force carried the divers, who jumped out of the rear cargo doors at 7315 metres (24,000 feet).
Kevin Gibbon, a spokesman for the group, said: "Some of them have to cover a kilometre of air space to get where they want to be."
Appearing first as tiny specks in the sky, the divers suddenly grasped hands and drifted down as a circular formation for a few seconds.
They then broke off and hundreds of parachuting skydivers rained to the ground, their fists in the air and their legs kicking in triumph.
Video and still footage were given to three judges on the ground, and they verified that all 400 divers were linked for more than four seconds.
The record united skydivers from
31 countries for the jump
Erwin Vanhooydonk, 32, of Utrecht, the Netherlands, said after landing: "It was the most amazing feeling.
"As we came out of the plane ... I could see the whole thing just settle down."
The formation jump was one of two record attempts by the group: a 960-person mass drop into Bangkok's yet-to-be-opened new international airport is supposed to take place on Saturday.
The World Team also holds a mass free-fall jump record of 672 unlinked skydivers over Bangkok in January 2004.