On the sidewalks of the city's main avenue, hundreds of mourners clapped and waved flowers as the procession passed through, paying their respects to the man described as the "eternal symbol" of Portugal's football pride.
As the procession made its way through town, many mourners chanted "Eusebio is our king!".
News agency Lusa reported that more than 10,000 people paid their respects to Eusebio as he laid in state at Benfica's Luz stadium and tributes poured in from Portuguese politicians, soccer players and artists.
President Anibal Cavaco Silva declared three days of mourning and decided to postpone a special award ceremony for Cristiano Ronaldo out of respect for Eusebio.
Ronaldo is Portugal's greatest player since Eusebio.
Monday's funeral was attended by many dignitaries, including Prime Minister Pedro Passos Coelho.
Eusebio, whose full name was Eusebio da Silva Ferreira, was European Footballer of the Year in 1965 but won global acclaim a year later at the World Cup in England, where his nine goals helped Portugal reach the semi-finals.
As a 20-year-old he also scored twice as Benfica beat Real Madrid 5-3 in the 1962 European Cup final.
He earned 64 caps and scored 41 goals for Portugal, records that stood for almost two decades.
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