Coleman, who stars as Britain's Queen Anne in the film, seemed ecstatic about her friend's prize as she gave her a peck on the cheek and congratulated her.
"Roma" is also nominated for best picture at the Oscars later this month, which has propelled Netflix into the Hollywood club of elite filmmakers despite fears that its streaming business model could undermine the industry.
It was the big night before the Oscars with everyone waiting to see who would win big at the Royal Albert Hall. But last night director Yorgos Lanthimos wanted to celebrate a home-grown victory.
Roma also won Best Cinematography, Best Foreign Language Film and Best Director for Alfonso Cuaron.
It won out against "Lord of the Rings" director Peter Jackson's "They Shall Not Grow Old" in which silent black-and-white footage from World War I was transformed into a 3D color movie.
"The thing I really want to do is, Emma and Rachel (must keep this together) not just for your performances but for what you did after the cameras stopped rolling".
"We're having an incredible night aren't we. We're going to get so (drunk) later", Colman told her fellow "The Favourite" nominees as she picked up the award to loud cheers.
"As far as I'm concerned, all three of us are the same and should be the lead.This is for all three of us". It's got my name on it but we can scratch in some other names,"she said".
The Favourite has dominated the 72nd British Academy Film Awards, taking home seven trophies off the back of 12 nominations.
BlackKklansman won the prize for Best Adapted Screenplay and Spider-Man: Into the Spider-Verse scored the Best Animated Film trophy.
In his acceptance speech, Malek thanked the late Queen's frontman as "the greatest outsider of them all".
He thanked his co-star and fellow composer Lady Gaga and the other musicians who helped with the film soundtrack before saying: "Most of all I have to thank Irina (Shayk, his partner) for putting up with me for all the music I was trying to make in our basement for a year". The Bafta Fellowship went to Thelma Schoonmaker, film editor to Martin Scorsese for more than 50 years.
Best documentary was awarded to the film, Free Solo, which featured the story of free-climber Alex Hannold, the first person to ever climb El Capitan in Yosemite National Park without ropes.