"Sherrybaby," directed by Laurie Collyer, was named best picture. Collyer won the Bronze Horse award for "a pure and heartbreaking work about survival and dignity," the festival jury said Sunday.
The film follows a young woman recently released from prison who tries to reconnect with her young daughter while confronting her old life and drug abuse.
"It takes you on a desperate quest for love, through a landscape of struggle, guilt and broken dreams which at times is hard to watch yet impossible to forget," the jury said.
Ryan Gosling, 26, was named best actor for his role in Ryan Fleck's "Half Nelson."
Gyllenhaal gave birth to a daughter, Ramona, in October. The 29-year-old actress is engaged to actor Peter Sarsgaard.
Screen credits for Gyllenhaal include roles in Oliver Stone's "World Trade Center," "Mona Lisa Smile," "Secretary" and "Donnie Darko," co-starring her brother, Jake Gyllenhaal.
The festival, which ended Sunday, showcased 170 films from nearly 40 countries.