"Wow, this is an incredible, incredible honor. Thank you," DiCaprio said, joking, "I never would have guessed I'd win Best Actor in a Comedy."
He went on to praise the film's director Martin Scorsese as a "visionary."
The pair previously collaborated on "Gangs of New York," "The Aviator," "The Departed" and "Shutter Island."
2014: The Year in Music [PHOTOS]