Colman, 45, won the best actress Oscar for her role as Queen Anne in The Favourite earlier this year, is honoured for services to drama under her real name Sarah Sinclair.
Elvis Costello, 64, and The Undertones’ Feargal Sharkey, 60, are both made OBEs, as is adventurer Grylls, 45.
Archibald Boyd Tunnock, 86, who created the Tunnock’s Teacake in 1956, said he is “deeply honoured” to be knighted.
He said: “When you get to my age, very few things surprise you but this certainly did an I am deeply honoured and grateful to Her Majesty the Queen.”
Colman, who will play Queen Elizabeth II in the third series of The Crowd, told PA: “I’m totally thrilled, delighted and humbled to be in the company of these incredible people, most of whom have been nowhere near as visible as I have, but should be – and hopefully now will be. It’s such an honour.”
Grylls, the chief Scout, who is recognised for services to young people, the media and charity, said: “This really is a huge honour and it’s something, if I’m honest, that I never expected to happen.
”But I really do feel it’s a team effort, this award is for every one of those incredible Scout volunteers.”
Rapper M.I.A, real name Mathangi Arulpragasm, 43, and Andrew Roachford, the singer-songwriter behind the band Roachford, are made MBEs for services to music.