French director Audiard, 60, also won best film at the festival in 2009 for his prison drama A Prophet.
But, although it was nominated, Rust and Bone failed to win the Palme d'Or at this year's Cannes Film Festival.
"Jacques Audiard has a unique handwriting, made up of music, montage, writing, photography, sound, visual design and acting," said playwright and director David Hare, the festival's jury president.
"He is one of only a very small handful of film-makers in the world who has mastered, and can integrate, every element of the process to one purpose: making, in Rust and Bone, a film full of heart, violence and love."
The jury also liked:
- After Lucia, Michel Franco's tale of bullying in a Mexican school;
- No, Chilean Pablo Larrain’s film, starring Gael Garcia Bernal, about advertising helping end General Augusto Pinochet's dictatorship;
- Beasts of the Southern Wild, a US fantasy set on a Louisiana bayou;
- Mea Maxima Culpa, Alex Gibney’s documentary about the Catholic sex abuse scandal.
The 12-day festival, which closes on Sunday, has also seen the premiere of Crossfire Hurricane, a documentary about the Rolling Stones' 50 years in rock and roll.