Moulin Rouge is a colourful, frenetic musical
The awards, announced on Wednesday, also named Moulin Rouge's Jim Broadbent as best supporting actor.
Broadbent plays a devilish cabaret owner in the frenetic film from director Baz Luhrman. It is set in 1899 Paris and stars Ewan McGregor and Nicole Kidman.
Accolades from the National Board of the Review are prized in Hollywood.
And these early gongs for Moulin Rouge help its chances of doing well at the Oscars in March.
The yet-to-to-be released first Lord of the Rings movie, The Fellowship of the Ring, won three awards.
Cate Blanchett was named best supporting actress for her role in the movie, as well as in The Shipping News and The Man Who Cried.
Director Peter Jackson won a special achievement and production design award.
The best actor honour went to Billy Bob Thornton for his roles in the Coen Brothers' thriller The Man Who Wasn't There, death-row drama Monster's Ball and crime comedy Bandits.
Hearing of his award, Thornton said: "It's gratifying to be recognised for all those films because when you have that many movies out, you're afraid some of them might not be noticed."
Meanwhile, Thornton's Monster's Ball co-star, Halle Berry, was named best actress.
And actor-turned-film-maker Todd Field was named best director for his emotional drama about grief In the Bedroom.
Asked how he felt about winning a directing award for his first feature, Field said: "I feel deeply touched to be held in such esteem by the National Board of Review."
Field also won the board's best screenplay award and the movie came second in its list of the year's 10 best films.
It was followed by Ocean's 11, Memento, Monster's Ball, Black Hawk Down, The Man Who Wasn't There, AI Artificial Intelligence, The Pledge and Mulholland Drive.
The NBR will present the prizes to the stars in January in New York.
The National Board of Review Awards:
Best film: Moulin Rouge
Best actor: Billy Bob Thornton (The Man Who Wasn't There, Monster's Ball, Bandits)
Best actress: Halle Berry (Monster's Ball)
Best supporting actor: Jim Broadbent (Moulin Rouge and Iris)
Best supporting actress: Cate Blanchett (Fellowship of the Rings, The Shipping News, The Man Who Cried)
Best director: Todd Field (In the Bedroom)
Best screenplay: Todd Field (In the Bedroom)
Documentary: The Endurance: Shackleton's Legendary Antarctic Adventure.
Foreign film: Amores Perros (Mexico)
Animated feature: Shrek
Breakthrough performances: Naomi Watts, Mulholland Drive; Hayden Christensen, Life as a House
Career achievement award: Jon Voight Career achievement award for film music: John Williams Billy Wilder Award, excellence in direction: Steven Spielberg
Directorial debut: John Cameron Mitchell, Hedwig & the Angry Inch