The 41-year-old, who wore a cream skirt and jacket, matching hat and gold-colored high heels, was accompanied by her husband Michael Douglas and their two children.
Zeta-Jones, who was born and raised in Wales, was honored for her services to the film industry and charity.
When the award was announced last year, the actress said she was "absolutely thrilled. As a British subject I feel incredibly proud. At the same time it is overwhelming and humbling."
On Thursday, she described receiving the CBE as "very personal."
Zeta Jones began her career as a child working in theater and on television. As an adult, she moved her career to Hollywood and landed leading roles in movies such as "The Mask of Zorro," "Entrapment" and "Traffic." She won a supporting actress Academy Award for her performance in the musical "Chicago."