The 49-year-old won the award for her portrayal of the wife of a Neopolitan mafia boss in the film, ‘Per Amor Vostro’ (For Your Love).
This is her second Coppa Volpi prize following one for her performance in the 1986 film, 'A Tale of Love'.
“I didn't expect to win,” Golino, who played alongside Tom Cruise and Dustin Hoffman in 'Rain Man' told Ansa.
“I knew that the film was good and I hoped it would be well received, although usually I don't believe that too much so I don't get upset afterwards.
“But it was a success and I love the affection I feel around me. Above all, I'm happy for me. I deserve it”.
Meanwhile, Venezuela’s ‘Desde Alla’ (From Afar), a drama that deals with repressed gay love, won the top Golden Lion prize on Saturday.
The debut feature by director Lorenzo Vigas was picked as best film by a jury chaired by Mexican director Alfonso Cuaron from a selection of 21 films from around the world.
The Silver Lion for best director went to Argentina's Pablo Trapero for ‘The Clan’, a crime movie based on a real-life story of a prosperous family of kidnappers in Buenos Aires, which has been a huge hit on home soil.
American duo Charlie Kaufman and Duke Johnson took the Grand Jury Prize for their acclaimed and highly original stop animation feature for adults ‘Anomalisa’.
However, there was no recognition for British production ‘The Danish Girl’, one of the pre-festival favourites in which Oscar-winning actor Eddie Redmayne plays a transgender artist.