The 36-year-old American actor and 42-year-old British actress attended the awards show at The Beverly Hilton hotel in Beverly Hills, Calif.
Gyllenhaal, who looked dapper in a black tuxedo, received the Hollywood Actor Award for his new movie Stronger. His Nocturnal Animals co-star Amy Adams presented him with the award.
Stronger is based on the memoir of the same name by Jeff Bauman, who lost both of his legs in the Boston Marathon bombing in 2013. Gyllenhaal discussed his relationship with Bauman with Entertainment Tonight on the red carpet.
"I've known him now for two and a half years. I spent a year and a half with him before we started shooting this film and he's still my friend," the actor said.
"This movie changed my life, and he's changed my life and his friendship has changed my life," he added. "There's those people in your life that really do make all your complaints and darker parts of you seem so small and unimportant."
Winslet, meanwhile, received the Hollywood Actress Award for her film Wonder Wheel. People reported the star shared an onstage kiss with Allison Janney after giving the actress a shoutout in her acceptance speech.
In addition, Sam Rockwell took home the Hollywood Supporting Actor Award for Three Billboards Outside Ebbing, Montana, Janney received the Hollywood Supporting Actress Award for I, Tonya, and Gary Oldman was honored with the Career Achievement Award.