Special Agent Jaime Zapata was run off the road and gunned down in the Mexican state of San Luis Potosi last week.
Authorities said the attack was carried out by members of the Zeta drug cartel.
U.S. Attorney General Eric Holder spoke at the funeral, praising Zapata's dedication to law enforcement.
"He was a hero in every sense of the word, a man whose acts of valor are a testament to what is best about our country and our national and international law enforcement community," said Holder.
A second agent in the car was shot twice in the leg but survived the attack.