The song, "Rise Like a Phoenix," helped Wurst the alter ego of 25-year-old Thomas Neuwirth secure Austria's second victory in the competition. The country also won in 1966.
"This is dedicated to everyone who believes in a future of peace and freedom," a tearful Wurst said as she accepted the trophy from Denmark's Emmelie de Forrest, who won the contest last year. "We are unity and we are unstoppable."
Pushing the boundaries of gender identity is nothing new at Europe's annual song contest an extravaganza known for its eclectic, sometimes unlistenable lineup of techno beats, love songs and pop tunes. But Wurst had been faced with some protests before the competition, highlighting a rift between Europe's progressive liberal side and the traditional values and nationalist rhetoric of Russia and some other nations taking part.
Wurst finished ahead of The Common Linnets from the Netherlands in second place and Swedish singer Sanna Nielsen in third, meaning next year's contest will be held in Austria.
Amid growing tensions over the Ukraine crisis, some in Eastern Europe have blasted Wurst as an example of the West's decadence. Activists in Belarus had even urged the country's state television network to edit the Austrian entry out of its Eurovision broadcast.
The annual competition is supposed to be completely removed from politics. Neither Russia's entry teenage twins Anastasia and Maria Tolmachevy nor Ukraine's Mariya Yaremchuk, whose routine included a dancer running in a giant hamster wheel, alluded to the recent tensions between Moscow and Kiev.
Still, every time Russia got votes from mainly neighboring countries, many in the audience of 10,000 booed, and when Moscow gave its respective 8, 10 and 12 points to Armenia, Azerbaijan and Belarus all former Soviet republics more boos were heard.
The winner was picked by juries and television viewers across Europe.
The first Eurovision song contest was held in 1956 in Switzerland and over the years, the contest's most famous winners include ABBA, Celine Dion and Johnny Logan, who won the contest three times in 1980 and 1987 as a performer, and in 1992 as a songwriter.