The thriller was screened at the Embankment Garden Cinema during the the BFI London Film Festival last night.
-> Yorkshire shines at BFI London Film Festival with Hope Gap, The Personal History of David Copperfield and Official SecretsScenes for the film, based on former GCHQ translator and whistleblower Katharine Gun (played by Knightley) were shot in Leeds, Bradford's City Hall and around North Yorkshire last year.
The movie was part-funded by Screen Yorkshire's own Yorkshire Content Fund, allowing crew from the region to work on the film.
Sally Joynson, the agency's chief executive, and Hugo Heppell, head of investments, were among those invited along last night.
The agency's Twitter account last night featured pictures of Mrs Joynson at the premiere, and of Knightley on the red carpet.
Speaking to The Yorkshire Post last week ahead of the premiere, Mr Heppell said: "It's usually a very emotional experience, actually.
"Seeing the finished film on the big screen but it's also the reaction of the audience and the satisfaction of seeing something that has been made here reaching an international audience, and it is a very high-level audience at these premieres."
Whistleblower Katharine Gun last night said she never regretted her decision to leak top secret information to the press in the run up to the US invasion of Iraq.
It follows her decision to expose a US plot to spy on the UN during the push for the 2003 invasion, as well as her subsequent prosecution for breaking the Official Secrets Act. The case against her was later abruptly dropped.
Arriving at the premiere, she told the PA news agency: "In a way it's great that it's been 16 years after the event because I can finally talk about it without breaking down or having stress and strain about it."
She added the role of whistleblowers is more important than ever in today's political climate, saying: "We are living in an age where it's difficult to know what the truth is and we have got politicians in charge who actually appear to not really care what the truth is.
"So if you have whistleblowers bringing out facts, things that can be verified that are truthful, then you get some kind of hold on the truth and then from there you can start to make decisions."
Asked if she ever regretted what she did, she said: "Not really, no."
Martin Bright, the Observer's investigative reporter who broke the news of Gun's leaked memo, is played in the film by Matt Smith.
The Personal History of David Copperfield, directed by The Thick Of It and Veep creator Armando Iannucci and starring Slumdog Millionaire actor Dev Patel, opened the festival on Wednesday last week.
It was another film shot in Yorkshire, after production visited Hull to use it as a double for Dickensian London.
Hope Gap, a Billy Nighy and Annette Bening movie which was filmed in Leeds and Doncaster, also had its UK premiere at the event last week.