Edie Falco, for her series Nurse Jackie, won the category.
"Oh, this is the most ridiculous thing that has ever happened," a stunned Falco said.
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"I'm not funny."
It was Falco's fourth Emmy win of her career after collecting three dramatic actress Emmys for her role as a mob boss wife in The Sopranos.
Sydney-born Collette, nominated for United States of Tara, won the Emmy last year in the category.
The other nominees were 30 Rock's Tina Fey, Glee's Lea Michele, New Adventures of Old Christine's Julia Louis-Dreyfus and Parks and Recreations' Amy Poehler.
Earlier, Jim Parsons won lead comedy actor Emmy for his role as a nerd on The Big Bang Theory.
Eric Stonestreet won the supporting actor in a comedy Emmy for Modern Family, while Glee's Jane Lynch was honoured for her comedy-series supporting role.
Glee creator Ryan Murphy won for best directing for a comedy series.
The 62nd Annual Primetime Emmy Awards are underway at Los Angeles' Nokia Theatre.
