She was buried at her father's homestead.
Cheptegei died in hospital four days after the attack. Doctors said she had suffered burns on more than 80% of her body which "led to multi-organ failure".
Ndiema, who was also burned after some of the fuel splashed on his own body, died on Monday.
He attacked the mother-of-two after she returned from a service at a church, the God's Dwelling Ministry.
The pastor there, Caroline Atieno, remembers a "wonderful... God-fearing person".
After hearing about what had happened, she managed to speak to Cheptegei on the phone while she was in hospital.
The athlete first asked about her children, who were both fine, the pastor told the BBC's Africa Daily podcast.
Then Cheptegei talked about her attacker: "You mean Dickson is not able to see all I have done for him? He could not remember even one or two things I have done for him and stop setting me on fire? Why has he done this to me?"
The funeral is being held in Bukwo, home to her family in Uganda and close to the Kenyan border.
On Friday, family members, friends and activists against gender-based violence viewed her coffin at a funeral home in the Kenyan town of Eldoret, before it was driven away.
Her mother, Agnes Cheptegei, covering her face in anguish, was wearing a souvenir bag that the athlete received at the recent Paris Olympics, where she came 44th in the marathon.
She was dressed in a T-shirt which had the slogan "being a woman should not be a death sentence" printed on it.
The mother-of-two was the third female athlete to be killed in Kenya over the last three years. In each case, current or former romantic partners were named as the main suspects by police.
In 2021, world-record holder Agnes Tirop was stabbed to death and six months later Damaris Mutua was strangled.
Attacks on women have become a major concern in Kenya. In 2022 at least 34% of women said they had experienced physical violence, according to a national survey.
Some observers are saying that female athletes are becoming increasingly vulnerable.
"[This is] because they go against traditional gender norms where the woman is just in the kitchen and just cooking and taking care of kids. But now female athletes are becoming more independent, financially independent," said Joan Chelimo, who co-founded Tirop’s Angels to help highlight the issue of violence against women.
"We don't want this to happen to any other woman, whether an athlete or from the village, or a young girl," Rachel Kamweru, a spokesperson of the government's department for gender and affirmative action, told the BBC.
When Cheptegei first got into running, she joined the Uganda People’s Defence Forces in 2008 which helped support her.
Her last race was at the Paris Olympics. Although she came 44th people in her home area still referred to her as "champion".
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