Giuliani received the honor on Monday for his "outstanding help and support to the bereaved British families in New York" in the wake of the September 11 terrorist attacks.
Honorary titles of Commander of the Most Excellent Order of the British Empire are also being conferred on the city's police and fire commissioners.
The titles were announced during a City Hall visit by the Queen's second son, Prince Andrew, the Duke of York.
Giuliani will not be able to use the title "Sir Rudolph" because he is not a UK citizen, but he can put the initials "KBE" (Knight of the British Empire) after his name.
He said he was "humbled and gratified" by the honor, adding: "I feel it is for everyone."
The duke said: "It is a great pleasure and honor for me to be in New York again."
"I have just one small announcement to make and that is that it gives me the greatest of pleasure to announce that Her Majesty the Queen has announced the following."
He then read the full citation giving the reasons for the Mayor's honor, which according to the UK Press Association said: "Rudolph Giuliani has been appointed an honorary Knight Commander of the Most Excellent Order of the British Empire for his outstanding help and support to the bereaved British families."
The duke said Police Commissioner Bernard Kerik and Fire Commissioner Thomas Von Essen were being recognized for "remarkable dedication and professionalism" in "saving British lives and assisting the families of the British dead."
He added: "We all admire the way all the emergency services have conducted themselves, and the Mayor and the city of New York over the last month."
The announcement included a statement from UK Prime Minister Tony Blair, who said Giuliani "provided heroic leadership of the City of New York in the aftermath of the terrorist attacks on the World Trade Center."
Giuliani said: "I am sure I speak for the police commissioner and the fire commissioner when I say that this award, and these awards, are really for the actions of the people of our city.
"We are very gratified by this but we see it as an award being given to all the people of New York City."
He added: "From the moment this happened, we could not have had a more loyal friend or a stronger support than the British government. It has been a great support for us."
He then joked: "Just call me Rudy -- I always like that."
Kerik was honored for "remarkable dedication and professionalism in assisting the relatives of British victims" and Von Essen was cited for "remarkable dedication and professionalism in attempting to save the lives of British nationals." Both can use the initials CBE after their names.
Up to 200 Britons are listed as missing or killed in the September 11 attacks.
Giuliani joins a prestigious list of Americans to have been made honorary knights.
They include former presidents Ronald Reagan and George Bush, British-born actor Bob Hope, Secretary of State Colin Powell and film director Steven Spielberg.
The duke, the first member of the British Royal family to visit New York since the September 11 attacks, met Giuliani as part of a three-day visit to the city. He later rang the bell to open the New York Stock Exchange.
He was also due to lay a wreath at the Church of Our Lady of the Rosary, which has become a shrine for the British dead in the attack, and thank clergy and parishioners at the tiny church for welcoming the mourning relatives of the dead.
