Taking to the stage to accept the award, Davies, 29, appeared stunned by the result.
“I wasn’t expecting this, I’m tipsy. I’m really tipsy,” she joked to the audience.
“I’m shaking, I wasn’t expecting this.”
She also paid tribute to the other nominees in the category, telling them she was “obsessed” with their work and describing herself as their “number one fan”.
Thanking the creative team behind The Great Gatsby, Davies joked about how closely she related to the character she portrayed.
“To the team of Great Gatsby, thank you for trusting me with Jordan Baker.
“I mean, the character breakdown was that she loves to party and white narcissistic men piss her off. And I didn’t have to act – at all. I didn’t.”
