She won best video of the year for Work It, beating Justin Timberlake and 50 Cent.
It was billed as a Justin v Missy night as he was up for seven awards and she was up for eight.
In the end Justin walked off with three awards for best male video, best pop video for Cry Me A River and best dance video for Rock your Body.
And rapper Missy also took home best hip hop vid.
Another highlight of the star-studded extravaganza was when Justin's ex Britney Spears teamed up with Christina Aguilera in a tribute to Madonna.
They performed her song Like a Virgin just as the Queen of Pop herself did at the first ever MTV Music video awards in 1984.
Then Madge herself joined them on stage!
British band Coldplay picked up three awards and so did Beyonce.