The fighter, who has won 31 of his 34 professional bouts and held British, European and Commonwealth super-featherweight titles during his career as well as the interim WBO belt, received his award at Buckingham Palace.
After the ceremony Arthur, from Edinburgh, reiterated his plans to leave the ring for good after his 35th birthday this year.
He said: "To get this very, very close to the end of my career – I've always said I will officially retire this summer after my birthday in June – is fantastic.
"I've started working on the BBC and Sky, we're starting Alex Arthur Promotions to help the young fighters coming through, we've done loads of charity work so it's not like I'm going to be bored."
Tessa Jowell, who was instrumental in securing and delivering London 2012, was left close to tears when she was made a dame at the same ceremony.
Clearly moved, she said: "I stood down the day after the Olympic Parade – this is so overwhelming, I feel really humbled by it."