Leonardo di Caprio, the American actor and producer has not won any Oscar yet.
He has been nominated for the Academy Awards in three occasions:

-Academy award for Best Supporting Actor ('What's Eating Gilbert Grape', 1993).
-Academy award for Best Actor ('The Aviator', 2004).
-Academy award for Best Actor ('Blood Diamond', 2006)

He has also been nominated to the Golden Globe Award for the Best Actor nine times, having won one in 2004 for his work in the film 'The Aviator".