Jenner, 65, formerly known as Bruce, made an emotional plea for "accepting people for who they are" in her 10-minute speech, and spoke out about her journey as a transgender person.
"I trained hard. I competed hard. And for that people respected me," Jenner said in her speech. "But this transition has been harder on me than anything I can imagine."
But it was only when Jenner, dressed in a white Versace gown, spoke about her family – her mother, sister and nine of her 10 children were all in the audience – that she was first moved to tears.
“I am just great to be in a position where myself and my family have been so supportive of what is happening,” Jenner told ABC News’ Robin Roberts backstage. “You know, my kids are great.”
Jenner’s youngest son, Brody, told ABC News the family had planned to celebrate with a big family dinner Wednesday night.
Jenner’s ESPY Awards speech marked the most public event for Jenner since revealing in April that she, who was called the greatest male athlete in the world after winning Olympic gold in 1976 for the decathlon, identified as a woman.
Vanity Fair magazine in June released the first photo of the former Olympian since her physical transformation, as well as her name, Caitlyn.
Jenner said in her ESPYs speech that she’s “never felt more pressure" and that she is looking ahead to how she can make a difference.
"It's about what happens from here," she said. "It is about all of us accepting one another. We are all different. That's not a bad thing. That's a good thing."
“I knew Arthur Ashe and I sat out there in the audience on many an occasion and I thought to myself, ‘Boy, what if someday I could make a difference in the world and do what I’m doing. I wonder if I will ever get that?’” Jenner told Roberts.
“Tonight was the night.”