The comedian's show Nanette was declared joint winner of the Best Comedy Award with that of British stand-up John Robins' The Darkness of Robins.
It has been a record-breaking year for Gadsby after taking out the Best Comedy Performer at the Helpmann Awards, the Barry Award for Best Show at the Melbourne International Comedy Festival and the award for Best Comedy at the Adelaide Fringe Festival.
The 39-year-old announced at the Helpmann Awards in July that the Edinburgh Fringe Festival would be one of her last outings as a stand-up before she retires to Tasmania.
She will sign off on Nanette at a string of shows in Sydney and Melbourne between September and November.
Gadsby and Robins saw off competition from seven other nominees to each win 10,000 pounds ($16,300).
It is the first time in the Fringe festival's 70-year history that it has named joint winners.
Awards director Nica Burns told the Press Association: "Both shows, which could not be more different, were hotly debated and fiercely fought for. Comedy has many possibilities and audiences [have] very different funny bones.
"These two incredibly talented winners make you laugh and touch your heart."
LA-based Natalie Palamides won the Best Newcomer Award and 5,000 pounds for her show LAID, a dark comedy about a woman who lays an egg every day and has to decide whether to raise it or eat it.
The judges decided not to award the annual Panel Prize.