The New Orleans Saints quarterback also won best championship performance, NFL player and shared the team award with his Super Bowl champion colleagues.
"It's hard to beat the Lakers in LA," Saints coach Sean Payton said, hoisting the silver team trophy.
Brees was chosen male athlete over Kobe Bryant, LeBron James, Jimmie Johnson and Albert Pujols. All but James picked up trophies in other categories.
"I'd also like to thank the Who Dat nation," Brees said. "We love you."
Gold medal-winning skier Lindsey Vonn won female athlete of the year honors during the show hosted by "Saturday Night Live" comic Seth Meyers that aired live on ESPN from the Nokia Theatre. She beat out Serena Williams and basketball players Maya Moore of Connecticut and Diana Taurasi of the Phoenix Mercury.
"This is coming from the fans," Vonn said backstage. "It's not basketball, tennis or golf. It's not as highly viewed as other sports. To win is a lot more than I expected."
Vonn was also chosen best female Olympian.
Landon Donovan of the U.S. national soccer team picked up three trophies, for best moment in a World Cup game against Algeria, best MLS player and the performance under pressure award. He didn't join his U.S. teammates backstage.
Phil Mickelson ended Tiger Woods' five-year run as best male golfer, denying Woods a record 23rd career ESPY.
Meyers worked some jokes about Woods' sex scandal into his monologue.
"We all know which free agent is making the most money this summer - Elin Nordegren," he said, referring to the golfer's estranged wife.
"Everyone, give it up for Tiger Woods, if you haven't already," Meyers said, drawing one of his biggest laughs.
Phil Jackson of the two-time defending NBA champion Los Angeles Lakers was named best coach, while Bryant won best NBA player.
James was booed when a montage of male athlete nominees was shown. He didn't attend the 18th annual awards.
Meyers zinged James' decision to leave Cleveland as a free agent and sign with the Miami Heat.
"Did it really need to be an hour?" Meyers said. "Somebody time me. Miami. How long did that take? A second."
Actors Steve Carell and Paul Rudd spoofed James' hour-long decision special on ESPN in a pre-taped bit that culminated in Carell announcing he had chosen to eat dinner at Outback instead of his longtime haunt Chili's.
Meyers closed the show by saying, "Stay tuned to ESPN for an encore presentation of LeBron James' 'The Decision."'
The year's best game honor went to the U.S.-Canada gold medal hockey game at the Vancouver Olympics, won by the host nation.
Minnesota Vikings teammates Brett Favre and Greg Lewis shared the best play for Favre's last-second pass to Lewis early last season.
"A lot of debate about better pass, better catch. That was one heck of a catch," Favre told the audience. "That was just a little blip on the radar of what kind of season we had. At 40, I still felt like I could do it. You guys made me believe it. It was just a magical year."
Favre hasn't announced whether he'll play this season and Lewis appeared alone backstage.
"I really couldn't get a read on whether he's coming back or not," Lewis told reporters. "I hope he comes back."
Denver Nuggets coach George Karl received the Jimmy V ESPY for Perseverance. He missed games and practices last season while battling neck and throat cancer. A thinner Karl appeared well, although he didn't come backstage.
The Arthur Ashe Courage award went to the Ed Thomas family of Parkersburg, Iowa, for their courage to forgive. In June 2009, Thomas was shot and killed in the high school football team's locker room by Mark Becker, one of his former players. Favre presented the award to Thomas' wife Jan and sons Aaron and Todd.
"Without our faith I don't think there's any way we could get through this tragedy," Todd Thomas said.