The flamboyant 25-year-old New Yorker won best female artist, best song and video for her hit single Born This Way as well Way as well related stories as the biggest fans award.
"I knew that this song was very special when I wrote it and I just didn't know when I first started out ... how special you would all be to me," a tearful Gaga told a packed, boisterous Odyssey Arena as she accepted the best song award.
"This is the single most important song that I've ever written and the single most important album. I love you little monsters to the end!" she added, using the term she employs to describe her fans.
Canadian teen sensation Justin Bieber was among the other multiple winners, picking up best pop act and top male singer.
Much of the attention in the run-up to the awards has been on the 17-year-old, who has denied allegations made by a US woman that he fathered her child when he was 16.
Bieber's girlfriend Selena Gomez, an actress and singer, hosted the MTV event, and the pair were photographed out the previous night in the city in a public show of togetherness.
Los Angeles rockers Thirty Seconds to Mars won two awards -- best alternative act and best world stage - as did Bruno Mars, honoured as the best new act and "push" artist who was promoted by MTV as an up-and-coming talent.
Katy Perry was voted best live act by more than 150 million MTV voters who decided most of the prizes. Eminem won best hip-hop artist, repeating his 2010 success, and Linkin Park scooped best rock.
Birth of MTV Brian May and Roger Taylor of Queen accepted the previously announced Global Icon prize. "We were there at the birth of MTV," May said.
"How wonderful for us to be here 40 years later ... and here in Belfast which is finally showing its beauty and setting an example to the world by finding, out of grief and tragedy, the beginnings of truth and peace."
British rockers Coldplay kicked off one of the biggest nights of pop music outside the United States with Every Teardrop Is a Waterfall from their new album Mylo Xyloto.
Host Gomez underwent multiple costume changes -- at least eight -- while lasers and flames lit up the darkened arena.
LMFAO performed Party Rock Anthem, a high octane disco hit that brought over 20 dancers to the stage where they strutted under tinsel "snow" that fell from the roof.
Red Hot Chili Pepper and Northern Irish favourites Snow Patrol played at other venues around Belfast, while Bieber earned the loudest screams when he sung his new track Under the Mistletoe followed by Never Say Never.
Lady Gaga sang Marry the Night from the top of a giant moon structure, and presenter and actress Hayden Panettiere was joined on stage by a naked man in a scripted appearance.
There was also a video tribute to late singer Amy Winehouse, who died in July aged 27.
The event closed with a medley of Queen hits including The Show Must Go On and We Will Rock You.
Belfast had been overtaken by Biebermania ahead of the show with hundreds of girls camped outside his hotel to catch the briefest glimpse of their idol.
"He's beautiful, he's like an angel," said Aya Lawlor, a 14-year-old Belfast girl who stood for hours on a cold Saturday night just to see Bieber. "He's proven that anyone can do it."
Thousands watched the main concert and other performances in the open and in smaller venues around Belfast, and millions tuned in around the world to see it via live stream on the web.
The awards are generally dominated by US acts even though they are held in a different European city each year.
Last year Gaga picked up prizes for best female artist, best pop act and best song for Bad Romance. This year she led the way with six nominations.
