Dieudonné, 42, gave the award for “social unacceptability and insolence” to Robert Faurisson, an academic with a string of convictions in France for denying the existence of Nazi death camps.
Dieudonné himself has a conviction for making anti-Semitic remarks.
The far-right leader Jean-Marie Le Pen and several figures on the French far-left were in the audience at Le Zenith, the largest music and theatre auditorium in Paris, the Independent reports.
The award was handed to Mr Faurisson – to loud cheers – by a stage-hand dressed as a Jewish deportee, with a yellow star on his chest.
At the end of his show, “J’ai fait le con” (I acted the fool), Dieudonne called Mr Faurisson up to the stage from the audience. The former professor of literature, aged 80, looked astonished as he was handed “a prize for social unacceptability and insolence”.
“I am not used to this kind of reception,” he said. “I am supposed to be a historical gangster.”
Mr Faurission has several convictions in France for denying the existence of the Nazi death camps and any plan by the Nazis to destroy Jews, gypsies and others.
Asked why he had honoured Mr Faurisson, the comedian told the paper: “I don’t agree with all his ideas.”
“He has, for example, denied that slaves were traded from the island of Gorée, off Dakar (in Senegal). But for me, what counts most of all is freedom of expression.”