The service opened with the NYPD Emerald Society Pipe and Drum Corps, escorted by two Royal Canadian Mountain Police, ABC News reported on its Web site.
Performances included a Bach cello suite by Yo Yo Ma, a medley by Celtic fiddler Natalie MacMaster, a traditional folk ballad sung by Alison Kraus, and "A Fanfare for Peter" by jazz trumpeters Clark Terry, Wynton Marsalis and John Faddis.
Jennings announced on "World News Tonight" April 5 he was suffering lung cancer. That was his last broadcast and he died Aug. 7.
Among Tuesday's speakers was "Nightline" anchor Ted Koppel, who described his friend and colleague's constant thirst for knowledge.
"He spent his adult life soaking up knowledge," Koppel said.
His son, Christopher, 23, said his father connected so well with children "because he kept a childlike awe about the world."