The 34-year-old scooped the prize for The Reader, in which she played a German woman with a secret Nazi past.
Winslet, who shot the movie in Germany, said: Ever since we made The Reader Im always trying to find ways to come back - it was special.
The annual Bambi Awards acknowledge achievement in film, television, music and sports.
Earlier this year, Winslet was awarded her first Oscar for The Reader, in which Ralph Fiennes also starred.
The Bambi panel praised her as an actress who doesnt just slip into her roles but rather puts herself into the soul of her roles.
The British star struggled to hold up the solid bronze and 18-carat gold trophy she was presented with at the ceremony.
This is very heavy, so Im going to put this down, she laughed.