The 34-year-old was accompanied by his wife Tania to receive the honour at Buckingham Palace on Tuesday.
Quizzed on whether he had taught the Queen to do the Mobot, letting out a loud chuckle, he said no as it is “far too rude – not in Buckingham Palace”.
He was honoured at an investiture ceremony at Buckingham Palace for his services to athletics, and swapped his running kit for a top hat and a full morning suit.
“Over the years you dream of becoming something or doing something in your career, to take it to the highest level and become an Olympic champion – that was always the dream,” Sir Mo said.
“As an eight-year-old coming from Somalia and not speaking a word of English, to be recognised by your country, it is incredible.”
On being handed the honour by the Queen, Sir Mo said she told him he has been “going too long” and asked him if he has retired.
“I said ‘no, I am going to run the London Marathon – I want to go into roads’. She said that’s marvellous,” Sir Mo said.
He retired from the track in August to focus on road racing and has been non-committal on his Olympic future so far having also hinted he may not wear the GB jersey again.
He insisted he will only look to run the marathon at the 2020 Olympics if he believes he can reach the podium.
“If I’m capable of getting a medal or close to a medal (in Tokyo), you will see me,” said Sir Mo, now coached by Paula Radcliffe’s husband Gary Lough.
He has been retained on British Athletics’ World Class Performance Programme despite doubts over his Olympic plans.
Sir Mo recently split from controversial coach Alberto Salazar and is eager to succeed in the London Marathon.
He said: “For me it is the biggest marathon in the world, and it is going to be tough. Mo Farah ain’t going to turn up and win…it’s going to be hard to run.