  For $\gamma \in (0,2)$, $U\subset \mathbb C$, and an instance $h$ of the
Gaussian free field (GFF) on $U$, the $\gamma$-Liouville quantum gravity (LQG)
surface associated with $(U,h)$ is formally described by the Riemannian metric
tensor $e^{\gamma h} (dx^2 + dy^2)$ on $U$. Previous work by the authors showed
that one can define a canonical metric (distance function) $D_h$ on $U$
associated with a $\gamma$-LQG surface. We show that this metric is conformally
covariant in the sense that it respects the coordinate change formula for
$\gamma$-LQG surfaces. That is, if $U,\widetilde{U}$ are domains, $\phi \colon
U \to \widetilde{U}$ is a conformal transformation, $Q=2/\gamma+\gamma/2$, and
$\widetilde h = h\circ\phi^{-1} + Q\log|(\phi^{-1})'|$, then $D_h(z,w) =
D_{\widetilde{h}}(\phi(z),\phi(w))$ 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.
