A royal funeral cortege bearing her coffin made a final journey around the city where the Danish born empress spent most of her life.
Afterwards, the head of the Russian Orthodox Church, Patriarch Alexei II, led a funeral service at the city's main cathedral, St. Isaac's.
Maria Fyodorovna was then to be laid to rest alongside her son, Nicholas II, and her husband, Alexander III, in the Romanov family vault at the Peter and Paul Fortress on the banks of the Neva river, in accordance with her wishes.
Danish Crown Prince Frederick and several members of the Romanov family were due to attend the ceremony, but unlike the burial of Nicholas II in 1998 that was attended by then-president Boris Yeltsin, Russian President Vladimir Putin was not scheduled to be present.
"It is not a sad event, it is a joyful one," Nikolai Romanov, the great grandson of Nicholas II, told the RIA Novosti news agency ahead of the ceremonies.
Her remains arrived in Russia from Denmark on Tuesday, 140 years to the day after she first set foot in Russia.
"The return of Maria Fyodorovna is a historical event," said Alvetina Nossova, 55, at the church of Alexander Nevsky in Peterhof, where the empress was lying in state.
Locals lined up with flowers at the small church, which is close to one of Maria Fyodorovna's favourite summer residences, 32 kilometres from the centre of the city.
"She loved Russia, she was a true Russian, more-so even than our leaders today," said Sergei Stepanovich, 60, paying his respects at the church.
It is 87 years since she fled Russia during the Bolshevik Revolution at the age of 71, together with her two daughters Ksenya and Olga, rescued from the Crimea by a British cruiser.
She lived unhappily in her native Denmark until her death at the age of 81, according to Prince Dmitry Romanov, the great nephew of Alexander II, who now lives in Denmark.
Her return was the product of years of negotiations between authorities of the two countries in an effort to draw the line under the bloody overthrow of the imperial family of Nicholas II by the Bolshevik regime of Vladimir Lenin.
She will be the last empress to be buried at the Romanov vault, where every tsar and tsarina since Peter the Great (1672-1725) is buried.