Bob Fosse.
In 1972 Cabaret won 8 Oscars, including Best Director, but lost Best Picture to The Godfather.
The closest I could find is: Cabaret (1972) which won 4 out of the 5 mentioned in the question- Best Director, Actress, Supporting Actor, Cinematography -but not Original Screenplay. The only other movies that won both Best Actress and Best Supporting Actor are: Million Dollar Baby (2004) which also won Best Picture and Director. Terms of Endearment (1983) which also won Best Picture, Director and Adapted Screenplay (but not Cinematography). Hud (1963) which also won for Cinematography.
Liza Minnelli is the best-known celebrity on this list. She won Best Actress in 1972 for Cabaret. Her mother, Judy Garland won an Honorary Juvenile Oscar in 1940, and her father, Vincente Minnelli, won Best Director for Gigi in 1958.
Cabaret won 8 Oscars, but The Godfather won Best Picture.
Several have won 3 Golden Globes for Best Director. Elia Kazan won for all four times he was nominated for Best Director. Clint Eastwood won three times for Best Director & also won a Golden Globe as the director of the Best Foreign Language Film winner (Letters from Iwo Jima).
James Cameron won the Oscar for Best Director for Titanic (1997).
The 2010 Best Choreographer Tony went to Bill T. Jones. He received the award for the choreography of Fela!.
Sydney Pollack won the Oscar for Best Director for the film Out of Africa.
Before 1960 no Canadian director won an Academy Award for Best Director.
Germany's The Lives of Others (2006) won the Oscar for Best Foreign Language Film.
James Cameron won the Golden Globe for Best Director for Avatar (2009).
Rajkumar Santoshi won the Filmfare Award for Best Director in 1991 for the film Ghayal.