The 29-year-old Murray was previously named an Officer of the Order of the British Empire, or OBE, in 2012 after becoming Olympic champion for the first time.
Joining Murray in being knighted in British sports is Mo Farah, who retained his 5,000- and 10,000-meter titles at the Rio de Janeiro Olympics in August, becoming the first British track and field athlete to win four Olympic gold medals.
"I'm so proud to have had the opportunity to race for my country and win gold medals for the British people, who have been my biggest supporters throughout my career."
Lee Pearson, who won his 11th Paralympic gold in equestrian in Rio, was also knighted. He already held the MBE, OBE and CBE for services to equestrianism and to disabled sport.
Ennis-Hill added silver in Rio to her gold at London, as did Grainger, who came out of retirement to compete in the double sculls alongside Vicky Thornley.
Knights are addressed as "Sir" or "Dame." Recipients of the other honors have no title, but can put the letters after their names. The ranks for the Orders of the British Empire are Commander, Officer and Member, in descending order.
Away from the Olympics, Wales manager Chris Coleman was awarded an OBE for steering his national football team into its first semifinal at the European Championship. Northern Ireland was eliminated by Wales at Euro 2016 in the round of 16 but its manager, Michael O'Neill, has been made a Member of the Order of the British Empire, or MBE.
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