The quantum anomalous Hall (QAH) effect is predicted to possess, at a zero magnetic field, chiral edge channels that conduct a spin polarized current without dissipation. While edge channels have been observed in previous experimental studies of the QAH effect, their dissipationless nature at a zero magnetic field has not been convincingly demonstrated. By a comprehensive experimental study of the gate and temperature dependences of local and nonlocal magnetoresistance, we unambiguously establish the dissipationless edge transport. By studying the onset of dissipation, we also identify the origin of dissipative channels and clarify the surprising observation that the critical temperature of the QAH effect is 2 orders of magnitude smaller than the Curie temperature of ferromagnetism.