Not only is it the first guild win for the 58-year-old filmmaker, it is the first time a woman has won the award.
"This is the most incredible moment of my life," Bigelow said.
"This is amazing. I'm so deeply stunned, honored and awed."
Bigelow already has received the majority of critics' awards this year for her work on the harrowing Iraq war drama, including those from the Los Angeles Film Critics, New York Film Critics Circle and the National Society of Film Critics.
In addition, she is nominated for the best director award by the British Academy of Film and Television Arts.
"The Hurt Locker" also received a BAFTA nomination for best picture, and won the Producers Guild of America's Darryl F. Zanuck producer of the year award last week.
The DGA Awards have become one of the most dependable forecasters for the Academy Awards -- the Academy of Motion Picture Arts and Sciences and the DGA have disagreed just six times in the last 61 years.
The Oscar nominations are scheduled to be announced Tuesday; the awards will be handed out March 7 at the Kodak Theatre in Hollywood.
The 62nd annual DGA ceremony was held at the Hyatt Regency Century Plaza, with Carl Reiner making his 22nd appearance as master of ceremonies. Norman Jewison also was honored with the guild's lifetime achievement award.
Other winners Saturday night:
* TV movie: Ross Katz for "Taking Chance" ( HBO)
* Musical variety: Don Mischer for "We Are One: The Obama Inaugural Celebration at the Lincoln Memorial" (HBO)
* Daytime serials: Christopher Goutman for "As the World Turns" ( CBS)
* Reality TV: Craig Borders for "Build It Bigger" (Discovery Science)
* Children's programming: Allison Liddi-Brown for "Princess Protection Program" (Disney Channel)
* Commercials: Tom Kuntz