The decision to give the award to the 65-year-old former Olympian had met with controversy but Jenner said as a sportsperson she learnt to take criticism in her stride but appealed to people to be more kind towards "transgenders", reported Deadline.
"It is an honour to have the word 'courage' associated with my life, but this night another word comes to mind, 'fortunate,'" Caitlyn said at the ESPY Awards.
Caitlyn, who was known as Bruce Jenner before her gender transition, teared up as she called on people to accept differences.
"It's about what happens from here. It's not about one person, it's about thousands of people. It's not just about me. It's about all of us accepting one another. We're all different and that's not a bad thing - it's a good thing," Caitlyn said.