Jockey AP McCoy 'honoured' to receive knighthood at Buckingham Palace
Sir Tony said he was "grieving" for the end of his career, but added that he would not dwell on the past.
Record-breaking champion jockey AP McCoy said he was honoured to receive his knighthood at Buckingham palace.
McCoy is only the second jockey to be knighted, following Sir Gordon Richards in 1953.
The 20-times champion jockey, who was crowned BBC Sports Personality of the Year in 2010, received the lifetime achievement award during last year's service after bringing his illustrious 23-year career to a close.
He joked that he was nervous about receiving his knighthood in case friend and fellow horse racing enthusiast the Princess Royal threatened to "let the sword slip".
Sir Tony - known during his time in the saddle as AP McCoy - said he has long known Anne, and her daughter Zara Phillips, from their heavy involvement in competitive horse racing.
Speaking after the ceremony, he said: "I obviously was very honoured the Princess Royal was (conducting the ceremony) because I've known her quite a long time.
"I've been lucky enough to spend time with her and obviously (I'm) very friendly with Zara and Peter (Phillips, the Princess's children) as well - I've known them a long time.
"It's the only time in my life I think I've ever felt nervous in front of her."
Cracking his trademark smile, Sir Tony said: "I am sure her daughter probably told her to threaten to let the sword slip maybe just for the fun of it.
"But I was very honoured."
Sir Tony said the knighthood was dedicated to all those connected with the sport.
He said Anne, who won individual gold at the 1971 European Championships before becoming the first member of the British Royal Family to compete in the Olympics in 1976, said she was "very honoured" to be conducting the ceremony and was "very proud" of what he had achieved in horse racing.
Sir Tony said the Princess also asked him about his retirement from the sport, last April.
Speaking after the investiture, Sir Tony said he was "grieving" for the end of his career, but added that he would not dwell on the past.
He said: "I am enjoying it, but I miss the thrill, the excitement of winning, I actually miss the danger of it.
"You can't replace it. You have to accept the fact that a sports person is probably the only person who ever really dies twice.
"I was grieving a little bit, but I am a forward-thinking person. I'm grateful for what I had and achieved and what the sport gave to me.
"I am not going to live in the past."
He took to twitter to speak of his pride in receiving the honour.
He had previously received an OBE in 2011.
Such a huge honour and privilege to receive my knighthood today at Buckingham Palace pic.twitter.com/SLPTGG08GO— AP McCoy (@AP_McCoy) June 22, 2016