Ceylan dedicated the prize to the Turkish youth "who lost their lives" in violent anti-government protests that have rocked Turkey over the last year.
Julianne Moore won best actress for her role as a shallow starlet in Cronenberg's biting Hollywood satire Maps to the Stars.
And Britain's Timothy Spall claimed the best actor prize for his role in Mr Turner, a lush historical biopic of 19th century painter JMW Turner by director Mike Leigh.
Bennett Miller scooped up the best director award for Foxcatcher, a Hollywood film based on the real-life murder of an Olympic wrestler by multi-millionaire John du Pont.
Critics embraced the 47-year-old's third feature film after Capote and Moneyball, and viewers were left particularly stunned by Steve Carell, whose performance as the deranged, sinister du Pont marked a complete turnaround from his previous funny man roles.
The runner-up Grand Prix went to Italian director Alice Rohrwacher, one of two women in competition, for her lyrical look at the rural life of a family of beekeepers, The Wonders.
And the third-place Jury Prize was shared by the oldest and youngest filmmakers in the race, 25-year-old Xavier Dolan for his innovative drama Mommy and Godard, 83, with the 3D extravaganza Goodbye to Language.
Best screenplay went to Leviathan, a harrowing drama assailing abuse of power in today's Russia by Andrei Zvyagintsev.
Winter Sleep marked the first win at the world's biggest cinema showcase for Turkey since 1982, when Yol by Yilmaz Guney shared the gong with Missing by Costa Gavras.
Bookies had tipped Winter Sleep even before its screening as the favourite to capture the Palme d'Or, based on Ceylan's track record and a sense that he was due.
Set in Turkey's stunning Cappadocia region, Winter Sleep drew rave reviews after its red-carpet premiere and a lengthy standing ovation.
The film stars Haluk Bilginer as a wealthy retired actor living with his much younger wife (Melisa Sozen) and his recently divorced sister (popular comic actress Demet Akbag).
Based on short stories by Anton Chekhov, their tense triangle plays out in a quaint hotel serving hikers and motocross enthusiasts in the rugged region.
Aydin, the husband, acts like the benevolent monarch of his remote community, dispensing charity and, when he sees fit, harsh discipline to the villagers.
He sees himself, however, as a champion of enlightened reason in conservative Muslim Anatolia, and a guardian of Turkey's rich cultural tradition.
Nuri Bilge Ceylan expressed "great surprise" in winning the prize in a historic year for the industry in Turkey.
He pointed out that this year was the 100th anniversary of Turkish cinema, adding it was a great "coincidence."
-AAP
