The 42-year-old, who was champion jockey 20 times during his distinguished career, became only the second rider to be knighted in the history of the honours system when he attended an investiture ceremony at Buckingham Palace yesterday.
The former jockey - better known to many 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, he said: “I am sure her daughter probably told her to threaten to let the sword slip maybe just for the fun of it.” He said the knighthood - the first for a jockey since Gordon Richards in 1953 - was dedicated to all those connected with the sport.
Speaking after the investiture, he said he was “grieving” for the end of his career, but added 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.”