The Wimbledon champion received the honour in front of parents Judy and Willie and girlfriend Kim Sears.
The tennis player was named in the New Year Honours list after winning the US Open and men's tennis final at the London 2012 Olympics.
The Duke of Cambridge was conducting his first ever investiture ceremony on behalf of the Queen, as he increases his royal duties after leaving the RAF.
Asked who was more nervous, Andy told ITV News: "I would say me! It's one of those things - no-one knows exactly how it's going to go until you get up there but he seemed pretty confident.
"He spoke to everyone for quite a long time. We spoke about my back surgery and Wimbledon. I also thanked him - his wife wrote a note to me after Wimbledon congratulating me.
"She has unbelievable handwriting and I've had a note from him before and his wasn't so good so I mentioned that to him."
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He added that his back injury is "getting better".
Mum Judy, meanwhile, confessed that she cried while watching her son receive his OBE.
Andy was almost late for the ceremony after being asked to take a random drug test as he got ready at home.
In the middle of a drug test hahaha I'm goin to be late!!!
— Andy Murray (@andy_murray) October 17, 2013
Others who picked up their honours today include Vicar Of Dibley producer Jon Plowman, who was awarded an OBE, and Daybreak presenter Aled Jones, who got an MBE.
