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"The gentlemen in front and behind me (as I received the award) were senior civil servants, so I was in good company."
"But I played King George III - and I didn't get crowned today," he joked.
The 69-year-old actor won international acclaim and was nominated for an Oscar for his role as George III in the film The Madness of King George.
Hawthorne, who already holds a CBE, said he knew the Prince of Wales had seen the film, but was not sure if the Queen had.
He said that being knighted was not as half a nerve-racking as Oscar night.
"The Academy Awards are very disconcerting because you are in competition, whereas here you feel that you are among friends and you know you've already got the award."
Coventry-born Sir Nigel was brought up in South Africa, where he become an actor in the 1950s.
In the 1960s Sir Nigel returned to London and to work extensively in the theatre, but it was his role as Sir Humphrey in Yes, Minister which made him a household name.
Speaking after receiving his award he said: "I feel very honoured and proud. It is lovely to be here today. I was nervous, but I think the Queen was too."
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