Chicago-based Gates took first prize for his installation which he says challenges the dominance of Christian ideology in the western world.
He said: "Winning this award is my validation that this new body of work has a place in the world."
The artist told BBC Wales' arts and media correspondent Huw Thomas about his plan to share his winnings.
Gates' work includes a bull sculpture said to deter bad spirits and protect crops in Africa and a goat which refers to a supposed American masonic initiation ceremony.
First Minister Carwyn Jones presented Gates with his prize at the National Museum Cardiff on Thursday night for his installation, A Complicated Relationship between Heaven and Earth, or When We Believe.
Describing his winning work, Gates said it "contemplates how objects have been used as signifiers of power and perhaps reopens them to be real instruments for accessing belief".
Held every two years, Artes Mundi was founded in 2002 by Welsh artist William Wilkins and supports contemporary visual artists from around the world who are still gaining international recognition.
Gates' winning work and other shortlisted works are on display at National Museum Cardiff and Chapter arts centre as well Ffotogallery, Penarth.
Artes Mundi winner Theaster Gates says he will share his £40,000 prize with the nine other shortlisted artists.