The Game of Thrones star - who was nominated in the 'Outstanding Supporting Actor in a Drama' category for his role as Tyrion Lannister - took home the prize at last night's ceremony.
Prior to the awards show, Dinklage described the nomination as an "honour", insisting that he did not expect to actually win anything.
"It's a great honour, I love the reaction it's getting - it has been so positive," Dinklage told the Los Angeles Times.
Dinklage is expecting his first child with wife Erica Schmidt.
The actor recently spoke to Access Hollywood about the upcoming season of Game of Thrones, suggesting that Tyrion will become more involved in the world of politics.
Dinklage said: "It's a really good season... my character goes somewhere that he hasn't been before and I'm not gonna say anything else, but it's fun to see a character like Tyrion in the world, in the game… the political game."
He concluded: "He was on the outside of it and now he's on the inside. It's fun what happens."
Watch Peter Dinklage making his Primetime Emmy acceptance speech below: