The 25-year-old cyclist, who is expecting her first child, said: "I almost feel like I don't deserve it - there's service people and it's such a huge honour, but I feel like all I do is ride a bike."
She said "nothing compares" to being given the award, despite announcing her pregnancy, getting married and winning two gold Olympic medals in the last 12 months.
Mrs Kenny said she was still "doing bits and bobs - I'm doing about two hours of exercise a day" but admitted that she was enjoying having some time off from training.
"It's actually nice - me and Jason are spending a lot more time together," she said. "We're doing things we never really did, like going down to my parents' house, for example."
She said the Princess Royal, who led the investiture ceremony, asked her "what it was like to have a break, to have a bit of time off - because obviously she's from a sporting background herself so she knows what it's like."So that was nice for her to say and actually realise that I haven't had a break since 2010."
Mr Kenny, who was also made a CBE for his services to cycling, described the day as "mega", and said he was still considering whether to aim for the Tokyo Olympics in 2020.
Speaking after the ceremony, he said: "I'm still training, just ticking over, just relaxing, letting the dust settle. Obviously we've got an extra family member coming at the end of the year."
He said he was "excited" but "a little bit worried" about juggling being a father with training for another Olympic Games."If it fits, it fits, and if it doesn't then I'll do something else."
Mrs Kenny, who was named in Great Britain's cycling squad for the build-up to the Tokyo Olympics alongside her husband on Monday, said she had received advice from fellow athletes Dame Jessica Ennis-Hill and Dame Sarah Storey.
She said it had "been good to see how they split their time" between training and parenting, and that she was "excited about the adventure" of becoming a mother.
"I know it's going to be a lot harder than the last two Games but it's something that I'm really looking forward to - it brings a new element to it."
The cyclist said it was "the right time" to have a baby, and that the couple had "wanted to try for a baby straight after Rio"."
I love cycling and it is my career but I never wanted it to define me, and it seems funny because everyone's like 'Oh, but you're so young, like why would you choose to do it now?' and it's like 'Because I also have a life' - I'm also living my life and it's the life I always thought that I wanted," she explained.
"I always wanted to be a young mum - so now felt like the right time."
She said "enough people" have come back to sport after having a baby, which gave her the confidence that she could do it too.
"Tokyo is the aim," she added.
The golden couple said they were planning to celebrate after the ceremony with afternoon tea at the Ritz.
