The novella, which explores a mother and daughter's journey through Japan, won the $100,000 Victorian Prize for Literature on Thursday night.
Miss Au was also awarded the Prize for Fiction at the Victorian Premier's Literary Awards.
"It's just so exciting and surprising. It's a huge honour," she told AAP.
"It's really humbling, especially with such an incredible shortlist."
Cold Enough for Snow has already risen to international acclaim, winning last year's inaugural Novel Prize from more than 1500 titles.
The Victorian judges described the prose in Cold Enough for Snow as "like a river, pulling the reader along as the story pools and eddies, flowing steady and deep".
The novel "opens up new horizons for Australian literature", they said.
It was 11 years between her first novel Cargo and her latest work but Miss Au said the time helped her strengthen her voice.
"I wanted to really try and make sure I wrote something with life in it, something that I felt was worthwhile," she said. "I really wanted to take the time to do that.
"I read a lot and tried a lot of different things. When it did come together, it came together quite quickly."
Along with Miss Au's novel, seven other works were recognised at the Victorian awards on Thursday, including five debuts.
Eda Gunaydin took out the Prize for Non-Fiction with her essay collection, Root & Branch: Essays on inheritance, while Lystra Rose won the Indigenous Writing Prize for her debut fantasy novel, The Upwelling.
Most category winners receive $25,000 prize money, although the Unpublished Manuscript winner received $15,000 and the People's Choice recipient pocketed $2000.
The awards are administered by the Wheeler Centre on behalf of the Victorian government.
"The fact that debut works account for five of the eight winning works this year means fresh perspectives and compelling new voices are being amplified in the Australian literary community," Wheeler Centre chief executive Caro Llewellyn said.
"I'm pleased to know that these awards will ensure we see these names in our libraries and bookshops long into the future."
WINNERS OF THE 2023 VICTORIAN PREMIER'S LITERARY AWARDS:
* Prize for Literature: Jessica Au, Cold Enough for Snow
* Prize for Fiction: Jessica Au, Cold Enough for Snow
* Prize for Non-Fiction: Eda Gunaydin, Root & Branch: Essays on inheritance
* Prize for Indigenous Writing: Lystra Rose, The Upwelling
* Prize for Poetry: Gavin Yuan Gao, At the Altar of Touch
* Prize for Writing for Young Adults: Kate Murray, We Who Hunt the Hollow
* Prize for Drama: John Harvey, The Return
* Unpublished Manuscript Award: Mick Cummins, One Divine Night
* People's Choice Award: Karlie Noon and Krystal De Napoli, Astronomy: Sky Country.
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