The adaptation of the George RR Martin fantasy series has sold over 350,000 units in the first seven days, reports Reuters.
Game of Thrones' record beats previous hit HBO series including Sex and the City, The Sopranos and True Blood.
The TV show's first season, which starred Emilia Clarke, Sean Bean and Peter Dinklage, averaged 9.3 million viewers in the US and was Sky Atlantic's biggest-rated hit of 2011 in the UK.
Game of Thrones is also expected to set record sales for digital, although figures have not been confirmed.
In a statement, HBO Home Entertainment president Henry McGee said: "What we are seeing is Game of Thrones being a hit across all platforms - network, disc and digital."
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The cast of Game of Thrones talk to Digital Spy about season one below: