Colman, who will portray the Queen in the new series of The Crown, was given the award by Princess Anne, rather than the monarch herself.
The 45-year-old star accepted the gong under her real name, Sarah Sinclair, for services to drama.
It caps quite a year for Colman, who won an Oscar in February for playing Queen Anne in The Favourite.
The ceremony also comes just weeks before The Crown, which charts the story of the royal family during the Queen’s reign, returns on Netflix.
Colman will take over from Claire Foy as the monarch for the third and fourth series. The third series, which launches on 17 November, will cover the years 1964-1977.
British cave divers Joshua Bratchley and Connor Roe also received their MBEs after helping to save a young football team trapped in a flooded cave in Thailand last year.