The 23-year-old scored in this year’s Champions League final as French side Lyon beat Wolfsburg 4-1 in Kiev.
Wolfsburg and Denmark striker Pernille Harder was second, Germany midfielder Dzsenifer Marozsan third and England and Lyon defender Lucy Bronze sixth.
The award – voted for by journalists – recognises the best player in the world.
Co-host Martin Solveig, a French DJ, was widely criticised on social media after asking Hegerberg during the presentation: “Do you know how to twerk?”
The player simply responded: “No.”
Solveig later apologised, and Hegerberg played down suggestions it had marred her win.
Modric beats Ronaldo to win Ballon d’Or
Hegerberg was one of seven players from the all-conquering Lyon side to feature among the 15 nominees.
She was the leading scorer with 15 goals as the French side won the Champions League for the third year running.
The Ballon d’Or has been awarded to a men’s player by France Football every year since 1956, but this is the first year there has been a women’s award.
The list of nominees is compiled by the editorial staff of the French magazine.
From 2010 to 2015 it merged with Fifa’s awards, but the world governing body set up its own awards again in 2016.
“I want to say thanks to my team-mates because this would not have been possible without them, my coach or our president Jean-Michel Aulas,” Hegerberg said at the ceremony in Paris.
“I also want to thank France Football. This is a huge step for women’s football.”