Actors Benedict Cumberbatch and Martin Freeman won the gongs for actor and supporting actor in a mini-series or movie for their parts as Sherlock Holmes and Dr Watson in the BBC show.
The detective drama's writer, Steven Moffat, also known for his involvement in Doctor Who, picked up the award for writing in a mini-series, movie or dramatic special.
Other successes at the ceremony included Fargo, which was screened on Channel 4 earlier this year and starred Freeman as the lead character.
Fargo won the Emmy for a mini-series at the event in the Nokia Theatre, Los Angeles.
It was a less successful night for ITV drama Downton Abbey, which rated high in the nominations list but neither Michelle Dockery, who plays Lady Mary Crawley, nor her co-stars Dame Maggie Smith, Joanne Froggatt or Jim Carter managed to take the top prize.
Ricky Gervais' Derek missed out to Big Bang Theory's Jim Parsons in the lead actor in a comedy series, while Game Of Thrones actress Lena Headey, who plays Cersei Lannister in the HBO hit series, lost out to Anna Gunn, aka Skyler White, in Breaking Bad.
The drug drama about a chemistry teacher turned meth dealer was the big winner of the night.
It took honours for best drama series, and best lead and supporting actors in Bryan Cranston and Aaron Paul, fighting off Hollywood heavyweights including Kevin Spacey, Matthew McConaughey and Woody Harrelson.
Meanwhile, Billy Crystal paid tribute to Robin Williams, calling him "the greatest friend you could ever imagine".
Crystal, who had an image of the Good Morning Vietnam actor above him, said: "He made us laugh, big time."
The City Slickers actor added: ''It's very hard to talk about him in the past because he was so present in all of our lives. He was the brightest star in the comedy galaxy.''
Crystal reflected on the Mrs Doubtfire star's legacy and how he will be remembered years from now.
''And you'll think to yourself 'Robin Williams, what a concept','' he said.
Meanwhile, Sherlock writer Moffat said there are plans to shoot a special episode at the start of next year, the content of which "practically reduced the cast to tears", and he is confident they can top the last series.
He said: "We are going to start shooting a special episode in January at the same time we start shooting Doctor Who, so that will be great.
"We have a plan to top it and I do think our plan is devastating and we practically reduced the cast to tears with our plan; honestly, I think we can top it."
Moffat said it has "always been tricky" to schedule Cumberbatch, whose star has risen in recent years.
"It's like trying to corral a bunch of people into a cocktail party but we all know what is happening with Sherlock is unusual so we are keen to keep making it as long as it's a good show.
"Now Benedict and Martin are being flown in by special jet to a big leaky shed in Wales. That makes it sound terrible," he joked.
Reflecting on his Emmy success, he said: "I didn't think to prepare a single word because I didn't think we could win."
Moffat said he hoped the win would get more people watching the show.
Collecting his award, Breaking Bad star Cranston said: "I have gratitude for everything that has happened."
The show's creator, Vince Gilligan, said: "Thank you for this wonderful farewell to our show."
Moira Walley-Beckett won the award for writing in a drama series for Breaking Bad.
The Breaking Bad finale was eagerly anticipated by fans with many shunning social media for fear of spoilers revealing the ending.
Ben Stephenson, controller of BBC drama, said: "It's great to see Sherlock being recognised so spectacularly at the Emmys. I'm delighted that the BBC is home to so much world-class acting and writing talent."
Elsewhere, Julianna Margulies won the award for actress in a drama series for her role in The Good Wife.
Cary Joji Fukunaga won the award for directing in a drama series for True Detective.
The comedy series award went to Modern Family.
Here is a list of Emmy Awards winners.
- Drama Series: Breaking Bad, AMC.
- Actor, Drama Series: Bryan Cranston, Breaking Bad, AMC.
- Actress, Drama Series: Julianna Margulies, The Good Wife, CBS.
- Supporting Actor, Drama Series: Aaron Paul, Breaking Bad, AMC.
- Supporting Actress, Drama Series: Anna Gunn, Breaking Bad, AMC.
- Directing, Drama Series: Cary Joji Fukunaga, True Detective, HBO.
- Writing, Drama Series: Moira Walley-Beckett, Breaking Bad, AMC.
- Comedy Series: Modern Family, ABC.
- Actor, Comedy Series: Jim Parsons, The Big Bang Theory, CBS.
- Actress, Comedy Series: Julia Louis-Dreyfus, Veep, HBO.
- Supporting Actor, Comedy Series: Ty Burrell, Modern Family, ABC.
- Supporting Actress, Comedy Series: Allison Janney, Mom, CBS.
- Directing, Comedy Series: Gail Mancuso, Modern Family, ABC.
- Writing, Comedy Series: Louis CK, Louie, FX.
- Mini-series: Fargo, FX.
- Movie: The Normal Heart, HBO.
- Actor, Mini-series or Movie: Benedict Cumberbatch, Sherlock: His Last Vow, PBS.
- Actress, Mini-series or Movie: Jessica Lange, American Horror Story: Coven, FX.
- Supporting Actress, Mini-series or Movie: Kathy Bates, American Horror Story: Coven, FX.
- Supporting Actor, Mini-series or Movie: Martin Freeman, Sherlock: His Last Vow, PBS.
- Directing, Mini-series, Movie or Dramatic Special: Adam Bernstein, Fargo, FX.
- Writing, Mini-series, Movie or Dramatic Special: Stephen Moffat, Sherlock: His Last Vow, PBS.
- Variety Series: The Colbert Report, Comedy Central.
- Writing, Variety Special: Sarah Silverman, Sarah Silverman: We Are Miracles, HBO.
- Directing, Variety Special: Glenn Weiss, 67th Annual Tony Awards, CBS.
- Reality-Competition Programme: The Amazing Race, CBS.