The procession was held at Moorabbin in honour of Shane's long love for the St Kilda Football Club, and guests wore the club's scarves in his honour.
Shane's coffin was driven around the oval to Bill Medley and Jennifer Warne's song 'The Time of My Life' which was followed by a eulogy from the funeral's host Eddie McGuire.
At one point, Eddie encouraged mourners to raise their glasses and cheer for Shane and said, "To Warnie… he was simply the best."
"The reason why he was so loved is because he was fallible, he was Superman. You threw the ball to Warne, you sat in that Southern Stand and he did the things you dreamt of doing as a kid," Eddie told The Herald Sun outside of the service.
"He had the hat trick, took 700 wickets, the Gatting ball, he did everything.
"He did the things like wow, I wonder what it would be like to be a playboy in London society," he continued.
"The magic part about Shane Warne was that he sprinkled his gold dust everywhere he went.
"He didn't become a hermit, he brought his friends into everything in life."
Shane's brother Jason, his dad Keith, and his son Jackson carried his coffin.
Later in the day, Jackson held a golf club – which was a sport Shane shared a passion for – and a white cricket ball.
Shane's former love Elizabeth Hurley announced before the private funeral that she sadly couldn't attend.
She shared the news on Instagram: "My heart aches that I can't be in Australia tomorrow for Shane's funeral," she wrote.
"I was filming last night and, with the time jump, physically can't get there. These pictures were taken in Sri Lanka to celebrate our engagement – we had all our children with us, and it was the happiest time," she wrote.
"It still hasn't really sunk in that he's gone. It seems too cruel that all the people who loved him will never have another Lion hug, but our memories will live forever. RIP Lionheart, with love, your Luna."
Shane's state funeral will be held at the Melbourne Cricket Ground (MCG) on the evening of March 30.
This article first appeared on our sister site, Now To Love.