Joel Grey won the 1972 Best Supporting Actor award for recreating his Broadway role as the Master of Ceremonies.
Joel Grey won the Oscar for Best Actor in a Supporting Role in 1972.
Joel Grey won the Golden Globe for Best Performance by an Actor In A Supporting Role in a Motion Picture in 1973 for Cabaret.
supporting actor
Anthony Quinn for Viva Zapata.
James Coburn won the Oscar for Best Actor in a Supporting Role in 1998.
Walter Brennan won three Academy Awards for Best Supporting Actor.
A supporting actor is one who is cast in a role that is not the lead, but is still vital to the play. Although the supporting roles are not usually the biggest parts, they add depth to the plot.
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.
Jack Palance won an Oscar as Best Supporting Actor for City Slickers (1991).
Anthony Quinn won the Oscar for Best Actor in a Supporting Role in 1952.
Barry Fitzgerald won the Oscar for Best Actor in a Supporting Role in 1944.
Ben Johnson won the Oscar for Best Actor in a Supporting Role in 1971.