Steinbrenner, 80, died on Tuesday in Tampa, where he had lived since 1975.
His family and the New York Yankees did not release any details about the funeral.
Cable news station Baynews9 showed video of a hearse and cars arriving at the Trinity Memorial Garden Cemetery north of Tampa and family members entering the building.
Steinbrenner was honored by the Yankees before Friday night's game in New York against the Tampa Bay Rays, which the Yankees won 5-4.
A video tribute to Steinbrenner was shown on the Yankee Stadium scoreboard, Taps was played by a U.S. Army bugler and two red roses were placed on home plate in memory of Steinbrenner and former Yankees public address announcer Bob Sheppard, who died on July 11 at the age of 99.
A public memorial service for Steinbrenner was expected to be held in the future.
Steinbrenner was survived by his wife Joan, his sons Hal and Hank, his daughters Jennifer and Jessica, two sisters and several grandchildren.
He became owner of the Yankees in 1973. His sons took over operation of the team in 2007.
(Editing by Ed Osmond)