The 47-year-old star – who is the co-hosting the ceremony alongside Andy Samberg – took home the coveted prize of best television drama actress for her role in the thriller.
It comes after she won Best Supporting Actress in a series back in 2006 for her role in Grey's Anatomy.
During tonight's star-studded award show she beat off competition from Julia Roberts (Homecoming), Caitriona Balfe (Outlander), Elisabeth Moss (The Handmaid's Tale) and Keri Russell (The Americans).
Fighting back tears Sandra dedicated her award to her parents before addressing them directly in Korean.
She said: "There are two people here tonight that I'm so grateful that they're here with me. I'd like to thank my mother and my father."
Her dad became an instant hit with viewers as he gave his daughter a standing ovation.
Earlier, Sandra opened the show with an emotional monologue thanking the "faces of change" in the audience.
Last year's Golden Globes were the first in the wake of the #MeToo movement and stars wore black on the red carpet to show their support.
This year, Sandra and Samberg promised a more light-hearted affair, though themes of change were still present.
Following a joke-filled monologue, Sandra struck a heavier tone and explained why she agreed to host.
She said: "I said yes to the fear of being on this stage because I wanted to be here to look out and witness this moment of change.
"I'm not fooling myself, next year could be different but in this moment, this moment is real because I see you. I see you all, these faces of change and now so will everyone else."
Golden Globe Awards 2019 full list of winners
Best Motion Picture – Musical or Comedy
Best Actress in a Motion Picture – Musical or Comedy
Olivia Colman – The Favourite
Best Television Limited Series or Motion Picture Made for Television
The Assassination of Gianni Versace: American Crime Story
Best Television Series – Musical or Comedy
The Kominsky Method
Best Performance by an Actress in a Television Series – Musical or Comedy
Rachel Brosnahan – The Marvelous Mrs. Maisel
Best Director – Motion Picture
Alfonso Cuaron – Roma
Best Performance by an Actor in a Limited Series or Motion Picture Made for Television
Darren Criss – The Assassination of Gianni Versace: American Crime Story
Best Motion Picture – Foreign Language
Best Actor in a Motion Picture – Musical or Comedy
Christian Bale – Vice
Best Performance by an Actress in a Supporting Role in a Series, Limited Series or Motion Picture Made for Television
Patricia Clarkson – Sharp Objects
Best Screenplay – Motion Picture
Peter Farrelly, Nick Vallelonga, Brian Currie – Green Book
Best Actor in a Supporting Role in any Motion Picture
Mahershala Ali – Green Book
Best Performance by an Actress in a Television Series – Drama
Sandra Oh – Killing Eve
Best Actress in a Supporting Role in any Motion Picture
Regina King – If Beale Street Could Talk
Best Original Song – Motion Picture
Shallow – A Star Is Born
Best Original Score – Motion Picture
Justin Hurwitz – First Man
Best Performance by an Actress in a Limited Series or Motion Picture Made for Television
Patricia Arquette – Escape at Dannemora
Best Performance by an Actor in a Supporting Role in a Series, Limited Series or Motion Picture Made for Television
Ben Whishaw – A Very English Scandal
Best Television Series – Drama
Best Performance by an Actor in a Television Series – Drama
Richard Madden – Bodyguard
Best Motion Picture – Animated
Spider-Man: Into the Spider-Verse
Best Performance by an Actor in a Television Series – Musical or Comedy
Michael Douglas – The Kominsky Method
Best Actress in a Motion Picture – Drama
Glenn Close – The Wife
Best Actor in a Motion Picture – Drama
Rami Malek – Bohemian Rhapsody
Best Motion Picture – Drama
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