The TV drama acting awards went to Claire Danes of "Homeland" and Bryan Cranston of "Breaking Bad."
"It is so good to be bad," Cranston said.
"Downton Abbey" won the TV drama cast award.
Julianne Moore's turn as Sarah Palin in "Game Change" earned her the TV prize for best actress in a movie or miniseries. Kevin Costner won for best actor in a movie or miniseries for "Hatfields & McCoys."
Fey, who memorably spoofed Palin herself in "Saturday Night Live" sketches, said backstage that Moore's performance was "incredible. She really disappeared into the character, she did a real film acting job. You wouldn't want a sketch acting job in that movie."
Earlier, the James Bond adventure "Skyfall" and the fantasy series "Game of Thrones" picked up prizes for best stunt work, honors announced on the red carpet before the official SAG Awards ceremony.
JoBeth Williams and Scott Bakula announced the winners, noting the value of stunt players, who often are overlooked for their contributions to film and television.
"The stunt men and women of our union are critical to the work that gets done," Bakula said. "They keep us healthy, they keep us alive, they keep us working. They keep our shows working."
The SAG honors are the latest show in a puzzling Academy Awards season in which Hollywood's top prize, the best-picture Oscar, looks up for grabs among several key nominees.
Honors from the actors union, next weekend's Directors Guild of America Awards and Saturday night's Producers Guild of America Awards -- whose top honor went to "Argo" -- typically help to establish clear favorites for the Oscars.
But Oscar night looks more uncertain this time after some top directing prospects, including Affleck for "Argo" and Kathryn Bigelow for "Zero Dark Thirty," missed out on nominations. Both films were nominated for best picture, but a movie rarely wins the top Oscar if its director is not also in the running.
Steven Spielberg's "Lincoln" would seem the Oscar favorite with 12 nominations. Yet all of the triumphs for "Argo" leave the Oscar race looking like anybody's guess.
The SAG honors at least should help to establish solid front-runners for the stars. All four of the guild's individual acting winners often go on to receive the same prizes at the Academy Awards.
The SAG cast prize has a spotty record at predicting the eventual best-picture recipient at the Oscars. Only eight of 17 times since the guild added the category has the cast winner gone on to take the best-picture Oscar. "The Help" won the guild's cast prize last year, while Oscar voters named "The Artist" as best picture.
Such past guild cast winners as "The Birdcage," "Gosford Park" and "Inglourious Basterds" also failed to take the top Oscar.
Receiving the guild's life-achievement award was Dick Van Dyke, who presented the same prize last year to his "The Dick Van Dyke Show" co-star, Mary Tyler Moore.
After waiting on stage for a prolonged standing ovation to end, Van Dyke said, "That does an old man a lot of good."