The Sky presenter beat two BBC journalists, including Laura Kuenssberg, in an all-female shortlist on Tuesday afternoon.
In her winning speech, she said: “You know what? I’ve never actually won anything before.”
She previously said she was “privileged” to be nominated, and posted a picture of herself smiling with the award after winning.
Ms Burley, 57, joined Sky News in 1988 and was one of the first journalists to work for the television station.
She has racked up more hours of live news presenting than any other broadcast journalist.
Other winners at the lunchtime event included Martin Lewis, of MoneySavingExpert.com, who was named the business journalist of the year, and the Mail on Sunday, which was named Sunday paper of the year.
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PC Keith Palmer, who was killed in the Westminster terror attack, was named Londoner of the year.
The London Press Club hosts lectures, social functions and exhibitions throughout the year, as well as giving out their annual awards.