Sir Bradley, who won gold at the London Olympics and became the first British winner of the Tour de France, was honoured for services to cycling.
Sir Bradley, who lives in Eccleston near Chorley, Lancashire, was joined at the ceremony at Buckingham Palace by his wife and two children.
He said the title was an “incredible honour”.
He said: “It was quite nerve-wracking actually. I’m still shaking now, to be honest.
"I mean, it’s quite humbling being here.
"I was just talking to some of the other people getting stuff, and asking them what they’ve been honoured for, and they’re historic things, ground-breaking sciences or whatever.
"I’ve won a bike race, you know, and I feel a little bit inferior to everyone, really."
The 33-year-old, known as Wiggo, was crowned BBC Sports Personality of the Year last year after winning the Tour de France and a gold medal in the time trial at London 2012.
He said: “It’s just the end of the road in a sense, in that it tops off the closure of last summer as it were, even though it’s more than a year ago.”
He ruled out celebrating his investiture this evening because he will be training for the next Olympic Games.