Doig, 62, completed the record breaking artwork "Swamped" in 1990, depicting a solitary canoe on water, surrounded by trees.
It was one of a series of canoe artworks born out of a dream sequence in the 1980 slasher movie featuring fictional Jason Voorhees.
In the famous scene, Jason shoots out of the water to grab his only survivor, dragging her into the icy water, and she wakes up in a hospital to find it was just a dream.
Doig's 197x241cm masterpiece was among the highlights of Christie’s 21st Century Art Evening Sale in New York on Tuesday night.
The painting, which was described as an "icon of contemporary art", was sold for a staggering £29,397,124 ($39,862,500).
The previous auction record for an artwork by Doig was $28.8 million (£21.26m), set in 2017 for his 1991 canvas "Rosedale", showing a Toronto snowfall.
Doig painted Swamped just before he graduated from the Chelsea College of Art and Design and won the prestigious Whitechapel Artist Prize.
It is regarded as the most important of Doig’s canoe series, considered the pinnacle of his oeuvre, and has established a world auction record for the Scot every time it has appeared at auction.
Christie's Ana Maria Celis, Head of the 21st Century Evening Sale, described the work as a "masterpiece" by "a truly seminal artist of the 21st century".
She added: "Standing as a leading work within his highly celebrated canoe series, Swamped brilliantly showcases Peter Doig’s singular and unique ability to manipulate the materiality of oil paint to render masterful compositions that exist on the border of figuration and abstraction."
Doig was born in Edinburgh in 1959, but moved with his family to Canada as a child and, after returning to Britain to study art, has lived in Trinidad since 2002.
Art critic Jonathan Jones once said about him: "Amid all the nonsense, impostors, rhetorical bulls**t and sheer trash that pass for art in the 21st century, Doig is a jewel of genuine imagination, sincere work and humble creativity."
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Now one of the world's most sought after living artists, several paintings by Doig have achieved eight figure sums at auction.
In 2007, his painting White Canoe was sold for $11.3 million, an auction record for a living European artist at the time.
When Swamped was last sold at Christie’s New York in 2015 it fetched $25.9 million (£19.12m).
Doig has continued to return to the Friday the 13th film still and its image of the solitary canoe.
Paintings including Swamped (1990), Canoe Lake (1997-1998), Ghost Canoe (1991), White Canoe (1991), 100 Years Ago (2000) and 100 years ago Carrera (2001) are now widely regarded as among his most accomplished.
Also in Christie's 21st Century Art Evening Sale in New York, HUMAN ONE, the first hybrid physical and digital artwork by record-breaking NFT artist Beeple, fetched $28,985,000 (£21,375,369), selling online to a bidder based in Switzerland.
Banksy's "Sunflowers from Petrol Station" fetched $14,558,000 (£10,735,988).