Leonardo, who plays real-life frontiersman Hugh Glass in the blockbuster, pipped fellow nominees Eddie Redmayne, Michael Fassbender, Will Smith and Bryan Cranston to the post.
Taking to the stage to accept his accolade, Leonardo, 41, thanked his fans and gave a truly heartfelt speech.
"My parents, I love you dearly," said Leonardo DiCaprio in his speech
"What an incredible honour, wow, that meant a lot," said Leonardo. "Thank you so much, to the other fantastic performances in this category. What a terrific year in film."
To director Alejandro González Iñárritu, he added: "Thank you for allowing me to be a part of this journey with you. Your leadership, your vision, your acute attention to making every day so visceral and real for us – I've never had an experience like this in my entire life."
The actor then described his co-star Tom Hardy as "a beast and unbelievable talent" before thanking his loved ones. "My parents, I love you dearly," said Leonardo. "My friends, you know who you are."
But most of all, the Hollywood legend dedicated his award to indigenous people around the world. "It is time that we recognise your history and that we protect your indigenous lands from corporate interests," he said. "It is time that we heard your voice and protect this planet for future generations."
His nomination for the Golden Globes – and the SAG Awards – suggests that Leonardo may also receive a nod from the Academy. However the Titanic star won't know for certain until the Oscars nominations are announced on 14 January.
It could finally be the year that Leonardo walks home with an Oscar, after losing out on his four previous nominations. For now, it was his time to shine at the Golden Globes.
Eddie Redmayne was nominated for his role in The Danish Girl
His fellow nominees showed no hard feelings as they were seen applauding the actor as he walked up to the stage. Eddie was nominated for his role in The Danish Girl, in which he plays the character of Lili Elbe, one of the first known recipients of gender reassignment surgery.
Despite losing out to Leonardo, Eddie still has a lot to be happy for this year. He and his wife Hannah Bagshawe are expecting their first child in the summer.
Last year the dad-to-be was honoured with a Golden Globe. He won the Best Actor award for his role of Stephen Hawking in The Theory of Everything. Eddie gave a special mention to his wife, who he married in December 2014, apologising to her for having to cut their honeymoon short.
"Oh my God, what an extraordinary thing," said the 34-year-old. "I've had to spend most of the evening stopping myself from falling over and letching over actors I've long admired. This was a huge privilege."