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The 48-year-old star, who has been the subject of controversy over her decision to adopt a one-year-old Malawian boy, was up for best Pop act, best Female and Album for Confessions on a Dancefloor.
Best Pop was won by Justin Timberlake, Female by Christina Aguilera and Album by The Red Hot Chili Peppers for Stadium Arcadium.
The superstar, who has enjoyed phenomenal success this year with a multi-million selling album and a world tour, was even ridiculed at the awards, in Copenhagen.
TV comic Avid Merrion dressed up as the Material Girl in her leotard-wearing incarnation and gave a comic rendition of her performance at MTV's events last year.
He then told the audience: "I'm getting too old for this s***. I've been getting a lot of hoo-ha from the press recently just because I bought a baby.
"But I'm Madonna. If I want to buy a baby I buy a flipping baby."
Despite US-born Madonna failing to take any awards, other American stars dominated the ceremony.
Big name British nominees like Keane and Robbie Williams went away empty-handed.
Those left flying the flag for the British music industry were veterans Depeche Mode for best Group and Devon trio Muse for Alternative Act.
Timberlake, who hosted the awards and is in Copenhagen with his Hollywood star girlfriend Cameron Diaz, won best Male as well as best Pop Act. He beat Kanye West and Robbie Williams to the Male category.
The Red Hot Chili Peppers had been nominated for four awards but only took away one prize for best Album.
Las Vegas band The Killers won the Rock category, beating the Red Hot Chili Peppers and The Strokes. Arctic Monkeys lost out in the best UK and Ireland category, which was won by The Kooks.
Caribbean-born talent Rihanna took the R&B prize and Gnarls Barkley won best Song for Crazy. Kanye West won best Hip-Hop, beating the likes of Missy Elliott and Busta Rhymes.
The winners of all the awards, except Video, are chosen by MTV's viewers.
The MTV Europe Music Awards winners
Best Male: Justin Timberlake
Best Group: Depeche Mode
Best Hip Hop Act: Kanye West
Best Song: Gnarls Barkley - Crazy
Best Pop Act: Justin Timberlake
Best Female: Christina Aguilera
Best Rock Act: The Killers
Best Alternative Act: Muse
Best R&B Act: Rihanna
Best Album: Red Hot Chili Peppers - Stadium Arcadium
Best Video: Justice Vs Simian - We Are Your Friends
Best UK & Ireland Act: The Kooks
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