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.

Armenians say up to 1.5 million of their people died in the atrocities of 1915. Turkey says the toll was much lower and rejects the term "genocide".
The vote heightened German-Turkish tensions at a time when Turkey's help is needed to stem the flow of migrants.
Turkey has recalled its ambassador and its leader threatened further action.
President Recep Tayyip Erdogan said the recall was a first step and that the government would consider further action it might take in response to the vote.
"We will do whatever is necessary to resolve this issue," he said.
In the latest response:
Armenian 'genocide' vote ignites press
More than 20 nations, including France and Russia, as well as Pope Francis, have recognised the 1915 killings as genocide.
Turkey denies that there was a systematic campaign to slaughter Armenians as an ethnic group during World War One. It also points out that many Turkish civilians died in the turmoil during the collapse of the Ottoman Empire.
Mrs Merkel was not in the Bundestag (lower house) for the vote. Her Christian Democrats (CDU), their coalition partners the Social Democrats (SPD) and the Greens all supported the resolution, and the vote in favour was overwhelming.
German MPs came under pressure from Turks in the run-up to the vote, receiving threatening and abusive e-mails, German ARD news reports.
The resolution uses the word "genocide" in the headline and text. It also says Germany - at the time an ally of the Ottomans - bears some guilt for doing nothing to stop the killings.
The reactions from Ankara are every bit as strong as feared. Turkey's foreign minister even accused Berlin of trying to deflect from the dark episodes of its own history, a clear reference to Germany's Nazi past.
But for many German politicians this vote was about exactly the opposite: it was about dealing with not just Turkey's difficult 20th century history, but also Germany's.
Many of the speeches in parliament focused on German responsibility in the 1915 killings. At the time, the German empire was a military ally of the Ottomans, and is accused of knowing about the massacres and not doing anything to prevent them. So for many Germans this resolution is about facing up to German historical guilt - something modern Germany is founded upon.
But the big question is what this all means for Europe's attempts to solve the migrant crisis. Diplomatic relations may be strained. But the hope in Berlin is that tensions don't scupper the EU's new refugee deal with Turkey.
Under a deal struck in March, Turkey agreed to take back migrants - including Syrians - arriving on Greek islands, in return for EU aid and a pledge to give Turks visa-free travel to most of Europe.
Germany accepted 1.1 million migrants last year - by far the highest influx in the EU.
German-Turkish relations were also strained this year by the case of comedian Jan Boehmermann, whose obscene poem about Mr Erdogan prompted a criminal complaint from the Turkish leader.
Last month a court in Hamburg ruled that Boehmermann's poem was satire, but banned him from repeating the sexual references in it, deeming them unacceptable.
Germany plans to repeal a clause in the constitution prohibiting insults that target foreign leaders - the clause invoked by Turkey in the complaint.
Find out more about what happened
Armenian tragedy still raw in Turkey
Welsh actress Catherine Zeta Jones has been made a CBE by Prince Charles at Buckingham Palace.
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The German parliament has approved a resolution declaring that the mass killing of Armenians by Ottoman Turks during World War One was a "genocide".