No Time To Die is the British actor's fifth outing as 007.
Speaking to BBC Radio 5 Live on the red carpet, he said the role was "incredibly important to cinema and to history, and the weight of that has been on my shoulders for a while".
"I've been incredibly lucky," he added. The film hits UK cinemas on Thursday.
Unusually for a royal premiere, there were two separate generations of royals who came out for Craig's farewell as Bond. The Duke and Duchess of Cambridge were joined at the Royal Albert Hall by the Prince of Wales and Duchess of Cornwall
Naomie Harris, who is playing Moneypenny for the third time, said it was "an emotional night" precisely because it is Craig's last outing in the role.
The film industry is watching closely to see how No Time To Die performs at the box office, and whether it can tempt fans back in large numbers now that most cinemas have reopened.
"I'm really hoping that it does entice people back into into cinemas and they feel comfortable doing that because it's such a special movie," Harris told BBC News.