Gandolfini won the SAG prize for outstanding performance by male actor in a drama series for his portrayal of New Jersey mob boss Tony Soprano, while Falco won the equivalent actress honor for playing Tony's long-suffering wife, Carmela.
The cast of the show, which ended last year after six seasons, also earned the SAG award for outstanding performance by an ensemble in a drama series.
"We worked really hard on the show," actor Tony Sirico, who played Paulie "Walnuts" Gaultieri on the iconic series, told the star-studded audience assembled for the SAG awards presentation at the Pacific Design Center's Silver Screen Theater in West Hollywood.
"What a hell of a way to go. We're all honored. We're all humbled. We're all happy. Thank you. Thank you. Thank you."
"The Sopranos" stars won all of the SAG awards for which they qualified and were nominated.
Notable deaths of 2014 [PHOTOS]