Rylance's previous wins were for Boeing Boeing in 2008 and Jerusalem in 2011.
"Wow, I'm up first," Rylance said as he collected his statuette for Best Featured Actor in a Play at the Radio City Music Hall ceremony. "Thank you so much for your generosity. We had such a ball playing Shakespeare here in the city."
The critically heralded, all-male Shakespeare's Globe productions of Twelfth Night and Richard III broke box-office records in London's West End before moving to Broadway last fall and playing in repertory at the Belasco Theatre.
Rylance also portrayed the title character in the drama, Richard III.