She won the prize for her work on "The Good Wife."
After thanking the show's writers and her co-stars, the actress gave a shout-out to her parents.
"My mother and father call me after every single episode," Margulies said. "They've been so supportive of me and have such interest in my life and every role I take -- except for 'Snakes on a Plane.' They weren't so proud of that one, but they are proud of this one."
Michael C. Hall won the prize for best actor in a TV drama series for his performance in "Dexter."
"Thank you so much to our union for this recognition," Hall said. "To my castmates, thank you for your professionalism and your talent. ... Thank you to my wife, Jennifer. Thank you for wearing that dress. And thank you to my mom for keeping all the most important doors open to me."
The cast of "Mad Men" won the SAG award for best ensemble in a drama series for a second consecutive year.
"Thank you very much; it's an honor just to be in this room with all you insanely talented people," co-star Jon Hamm said as the cast took the stage to collect their prize.