The Chancellor was caught on camera wiping away tears during the service last week at St Paul's Cathedral, said it had been "a very, very powerful and emotional" event.
"I welled up a bit because I thought it was a very emotional and moving occasion and at times overwhelming," he told the BBC Radio 4 Today programme.
"I think it was a fitting tribute to someone's life and in a sense a great State occasion as well.
The combination of the sermon and the music and so on made for a very, very powerful and emotional moment."
Mr Osborne appeared uncomfortable when presenter John Humphrys tried to press him on whether he was the sort of person who does weep occasionally.
"Well, I was caught on camera so I can't deny that it (happened)," he said.
"Occasionally I get a tear in my eye, sometimes just when I listen to the Today programme headlines, but on this occasion it was a much more moving moment."