Lady Gaga Wins Her First Academy Award After Gorgeous Duet. After an emotional performance, of the now Oscar-winning song ‘Shallow’ from ‘A Star is Born’, Lady Gaga has been crowned with her first ever Academy Award. “I’ve worked hard for…long time, and…it’s not about winning. But what it’s about is not giving up. If you’ve a dream, fight for it,” Lady Gaga said after receiving the award.