The refugee drama tells the story of people fleeing post-civil war Sri Lanka for a life in France.
Holocaust drama Son of Saul took the Grand Prix. Vincent Lindon won Best Actor while Rooney Mara and Emmanuelle Bercot shared Best Actress.
Dheepan tells of a former Tamil Tiger fighter who links up with two strangers to pretend to be a family and find a life of asylum in a tough, drug-infested housing estate on the edge of Paris.
Director Jacques Audiard, who previously made A Prophet and Rust and Bone, said: “To receive a prize from the Coen brothers is something pretty exceptional. I’m very touched. I’m thinking of my father.”
Joel Coen said: “This isn’t a jury of film critics. This is a jury of artists who are looking at the work.”
The Grand Prix, essentially the runner-up prize, went to Hungarian newcomer Laszlo Nemes for Son of Saul and its depiction of the Auschwitz, gas chambers.
“This continent is still haunted by this subject,” Laszlo Nemes said.
Greek director Yorgos Lanthimos took the jury award, the third prize, for The Lobster, a dystopian comedy starring Colin Farrell and Rachel Weisz.
Best Director went to Taiwan’s Hou Hsiao-hsien for martial arts film The Assassin, his first movie in eight years.
Rooney Mara shared Best Actress for her role in Carol, but her co-star Cate Blanchett was overlooked and instead the jury decided to honor Emmanuelle Bercot for her role in My King.
Vincent Lindon’s Best Actor award was for his role in Stephane Brize’s movie The Measure of a Man.
There were 19 in-competition films this year, though several were aired out of competition, including Mad Max: Fury Road and Pixar’s Inside Out.
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