The actor - who plays Bates on the hit period drama - is one of six actors recognised in the category of 'Supporting Actor in a Drama Series'.
"I had a real sort of lovely wave of emotion about it, which was very beautiful," he told Entertainment Weekly. "And then I had to crack on and get back to work."
Coyle added that the cast of Downton Abbey are "absolutely thrilled" with the reaction to the show in the US.
"It's really gratifying to us," he admitted. "It's gonna be great to just pop over and say hello and express our gratitude."
Downton Abbey scored a total of 16 Emmy nominations, including nods for Coyle's co-stars Michelle Dockery, Hugh Bonneville, Maggie Smith, Joanne Froggatt and Jim Carter.
A third series is currently shooting, for transmission on ITV1 in the UK and PBS in the US.
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