Her award was the only one voted for by the public, and she was praised after her win by her Black Panther co-stars Andy Serkis and Danai Gurira.
They were presenting another award, but Serkis did a small victory dance.
Walking Dead star Gurira added: "Baby sis we love you, you are an inspiration always."
Here is Wright's speech in full:
"I identify myself as a child of God and I can't get up here without thanking God.
"A few years ago I saw myself in a deep state of depression and I literally wanted to quit acting.