The network also named ABC's "Modern Family" the best television comedy and "The Other Guys" as best comedy movie of the year.
Letterman was the first recipient of the annual Johnny Carson Award for Comedic Excellence for his career as a television host that began in 1982.
Eddy Murphy received the Comedy Icon Award for his contributions to the world of laughs.
Baldwin was named best comedy actor on TV, Fey, his co-star on NBC's "30 Rock" was honored as best film actress for her efforts in the movie "Date Night."
Kristen Wigg of "Saturday Night Live" was named best TV actress. Zach Galifianakis of "Dinner for Schmucks" was named top film actor.
The recipients of most of the awards were selected by an invited jury of 1,000 performers, writers and directors, Comedy Central said in a written statement. Members of the public voted on the breakthrough artist of the year, which went to stand-up comic Daniel Tosh, and Best Viral Original, which was given to the clip "Auto-Tune the News: Bed Intruder Song."