The Billy Elliot star, aged 67, who was raised in Smethwick, was named Dame Commander of the British Empire by the Queen in a ceremony at Buckingham Palace.
The honour came almost 35 years after her breakout role in Educating Rita, for which she was nominated for an Academy Award.
She told reporters: "It's fantastic, it's not really real.
"It was slightly nerve-wracking, 'when do I curtsey?' But everyone is the same.
"It's one of those things where you feel relieved (when you've done it), then you look back and think 'how fabulous'.
"I thought 'I wish my parents were here'.
"It was so numbing. The Queen said 'It's so marvellous that you've got this, I'm so pleased' and 'How long have you been doing acting?'
"I said '43 years' and she said 'In so many different things, well done.'"
Dame Julie also posed for pictures with fellow actor and star of Peaky Blinders Helen McCrory who received an OBE during the investiture.
Asked if she thinks the Queen knows her filmography, which includes Billy Elliot, for which she was nominated for an Oscar, Mamma Mia!, Calendar Girls and seven of the eight Harry Potter films, Dame Julie said: "I shouldn't think so, I have no idea and no way of knowing. Charles might."
She added she had been given special dispensation for a day off from shooting the Mamma Mia! sequel, which also stars Meryl Streep, Colin Firth, Cher and Amanda Seyfried, to go to the palace.
She said: "I'm working at the moment, we're filming Mamma Mia! We were in Croatia but we are back at Shepperton now, a bit of a comedown after Croatia, so I'm not going to go back to work today but I've got to get stuff to go back but we are going to have something to eat and that's it.
"They (the cast) all love it, they are all going mad. They were all joking about it, as you can imagine, there is lots of this (curtseying) going on.
"I got really nervous yesterday because they were asking 'are you excited, oh my god, it's the big day!'
"Normally I'm at home and don't think about it until I have to come."
Asked if Streep would be calling her Dame Julie, she replied: "She's gone home, she's finished but she just said 'Congratulations, how great'. Nobody calls me that.
"I can't take that in. The most exciting time was when the letter came, I looked at it and thought 'what?' because it's that sort of very formal speak, 'what does this say?' then I saw dame and I thought 'bloody hell'. That was the most exciting bit.
"Somebody emailed me to say how did you celebrate? I weeded the garden."
Comparing it to the accolades she has been given by the acting community, including Baftas and two Oscar nominations, she said: "It's a different thing, it's the Government and the Queen, it's just a very different feel.
"It's a lovely thing, I can't explain it. The Baftas are fantastic and really important but it is about the business, and this is too but it's also about the country so it's special in that sense."