The Oscar-winning star attended the Queen's official home in London with actor husband Michael Douglas, 66, and their two children daughter Carys, seven, and son Dylan, 10.
The 41-year-old received the honour from Prince Charles, for her services to the film industry and charity.
When the announcement of the award was made in the Queen's Birthday Honours last summer she said: 'I am absolutely thrilled with this honour.
'As a British subject, I feel incredibly proud.'
Zeta-Jones added: 'It is overwhelming and humbling. And my mum and dad are delighted beyond belief.'