The 31-year-old, from Sheffield, has received the honour for her services to athletics.
Ennis-Hill, who won gold at London 2012 Olympics and silver four years later in Rio, announced her retirement from the sport in October.
At the same ceremony, designer and ex-Spice Girl Victoria Beckham was made an OBE for services to fashion.
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Ennis-Hill, who received her honour from the Duke of Cambridge, will receive another World Championships gold medal after Tatyana Chernova was stripped of her 2011 world title for doping.
The 2012 Olympic champion, who was accompanied by her grandparents, mother Alison Powell and husband Andy Hill at the ceremony, said: "Just to hear the national anthem in this kind of moment again is really special.
"I've so many amazing memories of standing on the podium and hearing it and to be here receiving a damehood, which I never imagined I would ever receive, is an incredible honour."
She added: "I've had more than I could ever imagine out of my career so I can't stand here receiving a damehood and wish for any more."
Former heptathlete Jessica Ennis-Hill has formally been made a dame during a ceremony at Buckingham Palace.