The actor, whose "Sacred Games" was also in the race to get the trophy in the category, was on cloud nine, and took to social media to express his views.
"It's a pure delight to be receiving the beautiful winner trophy at the International Emmy Awards 2019 Gala in New York with one of my fav director James Watkins for our work 'McMafia'," he tweeted.
The BBC show is inspired by the 2009 non-fiction book of the same name by Misha Glenny and explores the world of organised crime.
It is about Alex Godman (essayed by James Norton), an educated hedge-fund manager who unwillingly gets sucked into the lawless world of his Russian mafia family. Nawazuddin features as Mumbai-based gangster Dilly Mahmood in the show.
Talking about the win, Rajshri Deshpande said: "I am very happy that, apart from 'McMafia', even 'Sacred Games' was nominated in the same category. I am very happy that India is getting nominations and we are making it."
She missed out the celebration for the Emmy win, but Rajshri hopes to celebrate with Nawazuddin in Mumbai.
"Every time I've worked with Nawaz, it feels like I've worked with different actors... he's amazing! In 'Manto', I play his close friend Ismat Chugtai. In 'Sacred Games', I play his wife Subhadra, and in 'McMafia', I play his girlfriend Manju. I feel like a Lady Nawaz now!"
The 47th edition of the award gala was held on November 25 in New York.
( With inputs from IANS )