The This Is England star took home Outstanding Lead Actor for his performance in Netflix drama Adolescence and shared the prize for Outstanding Writing with co-creator Jack Thorne.
The show has been one of the most talked-about dramas of the year, telling the story of Eddie Miller (played by Graham), whose teenage son Jamie is arrested after armed police storm their home.
Fifteen-year-old Owen Cooper, who plays Jamie, also made history as the youngest-ever male Emmy winner.
Adolescence tackles themes of incel culture, misogyny online and the dangers of social media.
The programme’s impact has reached Parliament, where Graham and Thorne were invited to speak with MPs about online safety.
Thorne told the Women and Equalities Committee he had faced personal abuse since the show’s release but said the issues raised were too important to ignore.
He said: “You know that I’m a bald, skinny, weird-looking man, and some people have made something of the fact that I’m a bald, skinny, weird-looking man…
“Well, if you look at how Stephen Graham looks, he looks more male than anyone else on the planet, I think, and so we’re a combination of things and we work together on it all.”
Rose Bruford College alumni were well represented at this year’s ceremony, with Sir Gary Oldman also nominated for his role in Apple TV’s Slow Horses.
The Sidcup drama school has long been recognised for producing world-class performers, and Graham’s Emmy success has been hailed as another proud moment for the borough.