Li picked up the award for best actor for his work in the 19th century-set, big-screen drama, the BBC said Monday.
"If I had not made a lot of kung fu films, I could have won the best actor award 20 years ago," Li said.
The film also earned awards for cinematography, art direction, visual effects, costumes and makeup design. Peter Chan won the prize for best director.
Ang Lee's sexy thriller "Lust, Caution" was named best Asian film and Siqin Gaowa won the award for best actress for her role opposite Chow Yun-Fat in the comedy "The Postmodern Life of My Aunt," the BBC said.