The Princess Royal was joined by her son Peter Phillips and his wife Autumn as well as her ex-husband Captain Mark Phillips and his daughter Stephanie.
Princess Anne exited the church with her daughter-in-law Autumn Phillips and Mark Phillips' daughter Stephanie
Autumn, who was dressed smartly in an all-black ensemble, was seen comforting her husband's half-sister Stephanie by walking arm-in-arm with the 17-year-old as they left the church.
News that Sarah passed away suddenly at the age of 63 came on Wednesday.
Sarah was Captain Mark Phillips' only sister and was sister-in-law to Princess Anne from 1973 until 1992.
"She died suddenly," a friend of the family told the Daily Mail. "It is very sad."
Captain Mark Phillips and his teenage daughter Stephanie
Sarah was always very discreet about her royal connections.
"It's not really done to talk about the children, I'm afraid," she once said of Zara and her brother Peter Phillips. "You see the Princess Royal and their father don't really like the idea of them being written about in newspapers."
Zara, who was close to aunt and invited her to her 2011 wedding in Edinburgh, will no doubt be particularly saddened by Sarah's passing as she looks forward to celebrating her first Christmas as a mother.