The 41-year-old Oscar-winner was recognised for services to the film industry and to charity in last year's Queen's Birthday Honours.
Zeta Jones was accompanied by her husband, US actor Michael Douglas, and their children Dylan and Carys.
The former Darling Buds of May star has appeared in such films as Chicago, Traffic and The Mask of Zorro.
When the announcement of the award was made last summer, the actress said she was "absolutely thrilled".
"As a British subject I feel incredibly proud," she continued. "At the same time it is overwhelming and humbling."
Her husband Douglas, who was diagnosed with throat cancer last year, announced in January that his tumour is gone and he is beating the disease.
Veteran actor Burt Kwouk, best known for his Kato role in the Pink Panther films, received an OBE at Thursday's investiture ceremony.
The 80-year-old actor appeared in three James Bond films and was most recently seen in BBC sitcom Last of the Summer Wine.
Welsh actress Catherine Zeta Jones has been made a CBE by Prince Charles at Buckingham Palace.