When the 42-year-old took the stage to accept the accolade, he appeared to be stunned by his victory.
"Wow, I followed Martin Scorsese," Dinklage said. "Oh my god, my heart is pounding. You are a legend."
Scorsese had earlier won his first ever Primetime Emmy for 'Outstanding Directing for a Drama Series' for the pilot of Boardwalk Empire.
Dinklage continued: "HBO, you are quite simply the greatest place to work for."
The actor then went on to thank his dog sitter for allowing him to attend the awards show before adding: "The other nominees, come on, any of you guys could be up here".
The other nominees were Mad Men's Jon Slattery, Andre Braugher for Men of a Certain Age, Justified's Walton Goggins and The Good Wife stars Alan Cumming and Josh Charles.
Finally, Dinklage concluded his acceptance speech by thanking his wife, saying: "I love you, Erica."
It was announced in June that Dinklage is expecting a child with his wife.
More from the Primetime Emmys 2011:
> Primetime Emmys 2011: 'The Daily Show with Jon Stewart' wins for nine years in a row
> Primetime Emmys 2011: 'Outstanding Lead Actress In A Comedy' nominees take stage together
> Primetime Emmys 2011: Charlie Sheen: 'I wish Two and a Half Men the best'
> Primetime Emmys 2011: Jane Lynch confronts 'Glee' alter ego Sue Sylvester
> Primetime Emmys 2011: The major winners