Captain Eoin Morgan presented the trophy to Mrs May outside Number 10 before the whole team posed for photos.
“You are a team that represents modern Britain, and that plays like no other side in the world," the PM told the team.
“When the odds were against you in the biggest game of your lives, you simply and stubbornly refused to lose."
The team earlier joined fans at the Oval in central London to bask in their glory following their victory over New Zealand at Lord's.
Players arrived at the ground on Monday morning, where they were introduced as world champions from the stands, and walked down to the pitch to meet with fans and give out high fives.
Captain Eoin Morgan carried the World Cup trophy with him among the crowd while others signed autographs for fans and spoke to the media.
Despite celebrations reportedly lasting until around 4am, the England players were up at 9am to make their way to the Oval.
Super Over bowler Jofra Archer told ITV News the magnitude of the team's achievement is starting to sink in.
He said: "This morning seeing the highlights and stuff and seeing some of the press I think we are now starting to understand the magnitude of what we did yesterday."
He added: "It was a big day, a lot riding on it, a packed house, and everyone just wanted you to do well so I didn't want to let anyone down.
"Probably after the ball got hit for six some nerves came back but I just tried to stick to my plan, stick to my process, and it worked."
Joe Root described the game as the best ever but said the team will be focused and ready for The Ashes later this summer.
"It was probably one of the best games that we'll ever get a chance to play in and be a part and probably watch as well," he said.
"I don't think you can top what happened yesterday I think that's the greatest game of all time, in my opinion.
"But the Ashes is the Ashes, it doesn't take much to get yourself up for something like that.
"All the players that will be involved in that will be extremely excited when that comes around but I do think it's important to savour this, to enjoy this as a group and as a nation."
Heather Knight, captain of the England women's cricket team that won the World Cup two years ago, described Sunday's final as "unbelievable".
"What a moment for the sport, what a moment for the guys, it was just unbelievable to watch. It was a really, really good game and the perfect spectacle and advert for the game for many people to see.
"Winning a World Cup final on home soil at the home of cricket, it doesn't get any better than that for me."
Heather Knight tells ITV News the World Cup win was unbelievable
ITV News Sports Editor Steve Scott says the success and buzz from Sunday's win must be used to boost the sport in the UK.
He said: "As a sporting occasion I don't think you'll ever beat it, if you think about it and put it into context, the tournament that was seven weeks long, 48 games, got to the last game and still after the only Super Over the teams still couldn't be separated. It was that dramatic and couldn't have been more so.
"For England though I think it's a very significant moment, you have to remember they had a disastrous World Cup four years ago. They decided it was time to rip up the book, start all over again, and that's what they've been planning for.
"And along the way they drew in quite a lot of criticism but they ignored that, they stuck to their guns and yesterday was the vindication, a first final in 27 years and, of course, a first ever World Cup.
"But what about English cricket, the sport in general in this country? Well, it could be and is a great opportunity for that.
"You only have to look at the faces of the kids who are meeting their heroes today to know that there is a generation out there who might want to play this game.
"It is a sport on the decline in participation terms and the glow from yesterday is something that the game in general really needs to use."
Ahead of the evening reception at Downing Street, Theresa May said: "Yesterday was a brilliant performance by a brilliant team. They showed flair, courage and an absolute determination to become world champions.
"The achievement, delivered in such a thrilling style on home soil, will live forever in our sporting history.
"It's also exciting to think just how many children will be inspired by this victory to pick up a bat for the first time and hopefully become the great cricketers and World Cup winners of tomorrow.
"We must build on this success, and only yesterday we published the school sport and activity plan. This has been welcomed by nearly 40 leading sports organisations as well as Sport England who said it was a great step forward."