Bigelow picked up six gongs out of eight she was nominated for, and was the first woman to win the best director award for her movie portraying elite soldiers tasked with defusing bombs in the heat of combat.
Collecting her best film award from US actor Dustin Hoffman, she said the prize was "beyond our wildest imagination."
"This is so unbelievable, we're just so deeply honoured and humbled," she said last night.
"The Hurt Locker" also picked up gongs for original screenplay, cinematography, editing and sound at the glittering event, which attracted stars including Robert Pattinson, Kristen Stewart and Uma Thurman.
It beat Cameron's 3D, computer-animated blockbuster "Avatar" to the major prizes, with the world's biggest-ever grossing movie picking up just two awards from eight nods, for special visual effects and production design.
Colin Firth won the best actor award for his role in "A Single Man", in which he plays a gay academic fighting with grief.
Carey Mulligan scooped the prize for best actress for her part in "An Education", a coming-of-age drama set in 1960s London, whose screenplay was written by British novelist Nick Hornby.