The 'Baby' singer's documentary-style film, which charts his rise to fame, was named 'Best Jaw-Dropping Moment' at the annual ceremony in Los Angeles on Sunday.
Never Say Never had been competing against other movies including Inception, Black Swan and 127 Hours.
"The movie #NEVERSAYNEVER is a real story about a dream. Pretty cool to be awarded for it!! THank YOU to all the INCREDIBLE FANS! I LOVE U, (sic)" he wrote on Twitter.
"Some great movies we were against...hopefully people who havent seen #NEVERSAYNEVER will give it a chance now and find out why we r so proud."
Bieber gave shout outs to his family, director Jon Chu, manager Scooter Braun, and a host of stars who made cameo appearances in the movie, including Miley Cyrus, mentor Usher, and friend Jaden Smith.
"Those who havent seen #NEVERSAYNEVER watch it and then b the judge. Im very proud of the film @jonmchu made and I will let it speak 4 itself," he added. "but for 2nite the FANS have spoken I am forever grateful. from stratford to the world....never stop dreaming big. thank you."
Bieber's award was presented by Danny McBride, Nick Swardson and Aziz Ansari, who told the audience that the teenager wasn't at the ceremony to accept the prize in person, before Bieber then made a surprise appearance on stage to a chorus of screams.
"I couldn't let down my fans and not come here," he said. "I want to thank everybody... Most of all, I want to thank my fans. I love you."
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Watch Justin Bieber accepting his MTV Movie Award below (US only):