Frost, well-known for coaxing an apology from late US President Richard Nixon for the Watergate scandal, died at the age of 74 on September 1 after suffering a heart attack while on board a cruise ship.
A public memorial service will be held at a later date, the BBC reported.
Veteran chat show host Sir Michael Parkinson, comedian Ronnie Corbett and broadcaster Stephen Fry were among the congregation yesterday at the Holy Trinity Church in Nuffield, Oxfordshire.
A close friend of the legendary broadcaster, who did not want to be named, described the funeral ceremony, which included hymns and readings, as "touching".
The Reverend Brendan Bailey, who led the service, tweeted: "Had immense privilege of conducting Sir David Frost's funeral yesterday.
Parkinson said Frost had "a huge influence" on his career "Very simple, moving occasion. Please pray for his family."
Fry also wrote on Twitter: "David Frost's funeral - so sad.
"He was a wonderful father, husband and friend. The only people who didn't like him hadn't met him."
Parkinson was among those who led the tributes following David's death.
Frost, who had three sons with his second wife Lady Carina Fitzalan-Howard who he married in 1983, had a heart attack while on board the Queen Elizabeth cruise ship.
His signature catch-phrase - "hello, good evening and welcome" - and inimitable interview style made him a celebrity worldwide.
Frost did not become internationally known until 1977, when he secured a series of revealing television interviews with Nixon, recently turned into a successful stage and film production as 'Frost Nixon'.
Nixon at one point let down his guard, telling Frost, "I'm sorry." "I let down my friends. I let down the country. I let down our system of government and the dreams of all those young people that ought to get into government but will think it is all too corrupt.
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