Adams, 39, won for her role as an accent-swapping con artist while Lawrence took home the evening's first award for her work as a bitter, unintentionally funny housewife.
"I don't know why I am so scared, I am sorry," a visibly flustered Lawrence, 23, said during her speech, thanking director Russell, after saying how she admired his work.
It was Russell, who also directed Lawrence in her Globe and Oscar-winning role last year in 'Silver Linings Playbook'.
The actor was amused to get his career's second Globe in the comedy category. DiCaprio praised Scorsese for their fifth collaboration, saying, "Thank you for your mentorship."
'12 Years a Slave', a compelling and unique peek into the terrors of slavery, took home the award for best film - drama.
Directed by Steve McQueen, the film stars Chiwetel Ejiofor as Solomon Northup, a free black man in 1840s New York who is sold into slavery.
The 44-year-old actress has two previous Golden Globes, for playing Queen Elizabeth I in 1998 Shekhar Kapur directed 'Elizabeth' and Bob Dylan in 2007's 'I'm Not There'.
Blanchett topped Sandra Bullock ('Gravity'), Judi Dench ('Philomena'), Emma Thompson ('Saving Mr Banks') and Kate Winslet ('Labor Day') for the award.
Matthew McConaughey took home the award for best actor in a motion picture - drama for 'Dallas Buyers Club' beating the likes of Chiwetel Ejiofor ('12 Years a Slave'), Idris Elba ('Mandela: Long Walk to Freedom'), Tom Hanks ('Captain Phillips') and Robert Redford ('All Is Lost').
Mexican filmmaker Alfonso Cuaron was crowned best director in a closely contested list for his work on the outer space thriller 'Gravity', beating the likes of Russell, McQueen ('12 Years a Slave') and Spike Jonze ('Her').
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