Frost died of a heart attack while on board a cruise ship Sept. 1. He was 74.
Among the mourners at his private funeral were chat show host Michael Parkinson, comedian Ronnie Corbett and author-comedian Stephen Fry, the BBC said.
A public memorial service is expected to be held at a later date, the report said.
The BBC quoted a close Frost friend, who did not want to be named, as saying: "It was such a sudden death. For friends... and family it was a very difficult time. The ceremony was a very touching and upsetting event."
Fry posted on Twitter a message praising Frost after the service.
"David Frost's funeral -- so sad," Fry wrote. "He was a wonderful father, husband and friend. The only people who didn't like him hadn't met him."