It is also the first ever Golden Globe win for the 34- year-old actor.
"I genuinely didn't think I would win as all the websites said I was gonna lose. Also, I am glad that we won this one.
To lose two of these in a row would have been a really sh***y moment for me. But this is nice. The only reason my acting is good on the show is because everyone holds me up," Ansari said in his acceptance speech.
"I want to thank Italy for all the amazing food we ate on season two," he joked.
The actor also thanked his parents for their support. Ansari was nominated in the same category for the Netflix show "The Master of None" in 2016.
He was up against Anthony Anderson of "Black-ish", Kevin Bacon of "I Love Dick", William H Macy of "Shameless" and "Will and Grace" star Eric McCormack.