The movie saw off competition from "Carol", "Mad Max: Fury Road", "Room", and "Spotlight".
The biggest snub of the night was to lesbian romance "Carol" which returned empty handed despite five nominations.
Considered to be a precursor to the Oscars, Globes win has upped DiCaprio's chances of winning his first Academy award for the true-story inspired role of frontiersman Hugh Glass in "The Revenant", directed by Alejandro Gonzalez Inarritu.
"This movie was about trust and no one was more deserving of our trust than our director. The depths to which he and the entire crew went to make this film were incredible," DiCaprio said while referring to the harsh weather conditions in which the movie was shot.
He ended his speech by expressing support for indigenous rights. "I want to thank all of the indigenous people in the world. It is time we protect your land and heard your voice."
The newcomer won over the likes of front-runner Cate Blanchett, Rooney Mara, Saorse Ronan and Alicia Vikander.
Larson, 26, said "Room" meant a lot to her as she thanked author Emma Donoghue, director Lenny Abrahamson and co-star Jacob Tremblay. "To anyone I forgot, I'll write you a thank you card."
Actress Jennifer Lawrence took home her fourth Golden Globe for biopic "Joy", which was put in the musical or comedy category.
Matt Damon won the best actor trophy in the comedy or musical category for his role in "The Martian". The actor said he was happy that his role in the Ridley Scott-directed drama was enjoyed by the audience.
Sylvester Stallone received a standing ovation by the starry audience as he climbed the stage to accept the best supporting actor gong for "Rocky" spin-off "Creed".
Stallone, who gave an emotional speech talking about his famous role, said, "I want to thank my imaginary friend Rocky Balboa for being the best friend I ever had.
Winslet, who was not expecting to win in the category, said "I promise you, I'm shocked. I am still standing here and I keep thinking this is maybe not happening. I honestly truthfully did not expect this at all, and I am so delighted."
"Steve Jobs" won its second trophy for Aaron Sorkin in the best screenplay category.
The best foreign language trophy predictably went to Hungarian drama "Son of Saul". Set during the world war II, the movie depicts the haunting tale of a prisoner working at one of the Auschwitz crematoriums and his struggles to give a child a proper burial.
Grammy-winning singer Sam Smith took home the best original song gong for his James Bond theme song "Writing's on the Wall" from "Spectre" while best score went to Ennio Morricon for "The Hateful Eight".
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