The singer also joked that she had seen David Hasselhoff’s penis and that it was “big”.
The ex-Baywatch star, who was presenting the MTV Awards ceremony, had earlier told that audience that he had drilled a hole in his dressing room wall, in case any of the “beautiful women” backstage wanted to watch him getting dressed.
Taking up the baton, Gaga quipped: “I’m in the dressing room next to you and you have a very big penis.”
The singer, who beat Adele, Beyoncé, Jennifer Lopez, and Katy Perry to win the Best Female gong, later performed Marry The Night, dressed as a red satellite landing on the moon.
Gaga also won Best Song, Best Video and Best Fans.
“I love you Little Monsters, until the end!” she declared.
Other winners included Katy Perry, who nabbed Best Live Act, Bruno Mars for Best New, and Justin Bieber, who collected the prize for Best Male.
Bieber performed his Christmas single Mistletoe and Never Say Never as his girlfriend, Selena Gomez, hosted the ceremony.
Here’s the full list of MTV EMA winners.
Best Female – Lady Gaga
Best Male – Justin Bieber
Best Pop – Justin Bieber
Best Song – Lady Gaga, ‘Born This Way’
Best Rock – Linkin Park
Global Icon – Queen
Best Video – Lady Gaga, ‘Born This Way’
Biggest Fans – Lady Gaga
Best Alternative – Thirty Seconds To Mars
Best Hip Hop – Eminem
Best World Stage – Thirty Seconds To Mars
Best Push – Bruno Mars
Best New – Bruno Mars