For $γ\in (0,2)$, $U\subset \mathbb C$, and an instance $h$ of the Gaussian free field (GFF) on $U$, the $γ$-Liouville quantum gravity (LQG) surface associated with $(U,h)$ is formally described by the Riemannian metric tensor $e^{γh} (dx^2 + dy^2)$ on $U$. Previous work by the authors showed that one can define a canonical metric (distance function) $D_h$ on $U$ associated with a $γ$-LQG surface. We show that this metric is conformally covariant in the sense that it respects the coordinate change formula for $γ$-LQG surfaces. That is, if $U,\widetilde{U}$ are domains, $φ\colon U \to \widetilde{U}$ is a conformal transformation, $Q=2/γ+γ/2$, and $\widetilde h = h\circφ^{-1} + Q\log|(φ^{-1})'|$, then $D_h(z,w) = D_{\widetilde{h}}(φ(z),φ(w))$ for all $z,w \in U$. This proves that $D_h$ is intrinsic to the quantum surface structure of $(U,h)$, i.e., it does not depend on the particular choice of parameterization.