Famous for roles from Shakespeare to detective Wallander, he was honoured for services to drama and the community of Northern Ireland.
The 51-year-old, who was born in Belfast, said he felt "humble, elated and incredibly lucky".
Branagh also had a starring role in this summer's Olympics Opening Ceremony.
He played Isambard Kingdom Brunel in the show, which was directed by Danny Boyle.
Speaking after his investiture, he said: "I'm so very pleased this has happened in the year of the Queen's Diamond Jubilee, the Olympics and the Paralympics.
"It's been a hell of a year for the UK and I feel very honoured to be a tiny part of this part of it."
Now Sir Kenneth Branagh, he joins the ranks of fellow thespians such as Alec Guinness, Patrick Stewart and Laurence Olivier, who he played in last year's My Week With Marilyn.
Branagh spent his early years in Northern Ireland, where he is now honorary President of NICVA supporting all the organisations in the voluntary and community sector.
He moved to Reading with his family when he was nine, where he first adopted an English accent to avoid bullying.
Celebrating the work he does in his homeland, he said: "It is special because it is to do with my roots in Northern Ireland and to do with a lot of work other people do and I'm happy to be associated with, lots of charitable institutions and real hard work on the part of a lot of people over there.
"I'm pleased the link with Northern Ireland is recognised, I'm very proud of coming from there."
The knighthood comes as press reports suggest Branagh will take on one of the great Shakespearian roles, playing Macbeth for the first time in his career at the Manchester International Festival next summer.
Actor and director Kenneth Branagh has been made a knight by the Queen at Buckingham Palace.