The eight pall-bearers who carried the casket into the Cathedral were drawn from Army units, Royal Navy ships and RAF stations with links to the Falklands war, commanded by Major Nick Mott of the Welsh Guards who served in the 1982 conflict.
Lady Thatcher's grandchildren Michael and Amanda walked ahead of the coffin as it entered the cathedral, carrying cushions bearing the insignia of the Order of the Garter and Order of Merit, which were laid on the altar.
Thousands of people are lining the streets of London, ahead of the funeral of former prime minister Baroness Thatcher.
Political leaders and other public figures from Wales have been arriving before the service, which begins at St Paul's Cathedral at 11am.
Cabinet Office Minister Francis Maude, the man responsible for organising Thatcher's funeral, said the costs are a "fraction" of the figures being "banded around".
Speaking to Daybreak he said: "The state will always pay for the costs of the funeral and memorial of a former Prime Minister and Margaret Thatcher was very adamant she did not want to have a separate memorial service.
"So this is the one occasion when people will get their chance to pay their respects, give her a send off and commemorate what was, by any exception, a really remarkable life."
Dame Shirley Bassey and Katherine Jenkins will also attend Margaret Thatcher's funeral.
More than 2,300 guests will attend Margaret Thatcher's funeral today, including 50 Falklands Veterans.
Speaking to Daybreak, Falklands veteran Simon Weston said: "Whatever else goes on and whatever people want to say about today somebody's died."
He added, "we're talking about somebody who is dead, it's not going to affect her a single jot, all people will remember is the lack of dignity that we have shown."
More than 700 Armed Forces personnel will be involved in today's funeral.
All three Armed Services are to play a role in Baroness Thatcher's funeral in London today, with particular reference made to the Falklands conflict.
Members of the Welsh Guards will form a guard of honour.
The Welsh Guards suffered some of the heaviest losses during the conflict.
On June 8, 1982, 32 Welsh Guards were among 48 British troops who died when the Sir Galahad was bombed by Argentine jets.
First Minister Carwyn Jones and the Welsh Conservatives' Assembly Leader Andrew RT Davies are set to attend the funeral of former Prime Minister Baroness Thatcher.
Secretary of State for Wales David Jones will also attend, as will Assembly Presiding Officer Rosemary Butler.
Plaid Cymru leader Leanne Wood has urged opponents of Margaret Thatcher to 'learn from and not dwell on the past.' She offered the former Prime Minister's family her condolences, but told AMs that was not paying tribute.
Welsh Liberal Democrat leader Kirsty Williams paid tribute to Margaret Thatcher as 'an individual of immense strength and determination.'
She told Assembly Members that 'it is right that [her] legacies are debated' but that today and tomorrow was about paying respects to 'a woman who devoted her life to the service of her country.'