Afterwards thousands of people crammed the centre of Luxembourg city after the ceremony to see the pair exchange their first kiss in public as a married couple on the balcony of the royal couple.
The cream of Europe's royalty were on hand for the Catholic wedding mass at Notre Dame cathedral blending tradition with modernity, the day after the couple tied the knot in an intimate civil ceremony.
Luxembourg's openly gay mayor, Bettel Xavier, was accompanied by his partner to the festivities, along with some 270 ordinary residents of the Grand Duchy.
In another modern touch, the rings the couple exchanged were made from fair-trade gold.
Luxembourg Archbishop Jean-Claude Hollerich celebrated the multilingual mass, which began shortly after 11:00 am as the blonde countess, wearing an ivory lace gown embroidered with silver filigree, entered the cathedral on the arm of her brother Jehan.
The gown, designed by Elie Saab of Lebanon, featured three-quarter length sleeves and a silk tulle veil, also adorned with the silver floral motif, that trailed some four metres (13 feet) behind her.
The 28-year-old bride is a member of one of Belgium's oldest aristocratic families and the youngest of eight children.
Her efforts to learn Luxembourgish paid off as she pronounced her vows in the language, raising cheers of praise from a crowd watching the ceremony on a giant screen in a central square.
Prince Guillaume, the 30-year-old Hereditary Grand Duke of Luxembourg, arrived in full military regalia with his mother, Grand Duchess Maria-Teresa, wearing a bright coral outfit with a silver brooch.
The event, at an estimated cost of 500,000 euros ($650,000) to the Luxembourg taxpayer, included free concerts, street shows and a giant fireworks display in the evening.
Crowned heads had rolled up in black limousines or more modest green minibuses, stepping out onto a long red carpet to enter the cathedral in bright sunshine on an unseasonably warm day.
Princess Caroline of Monaco, Britain's Prince Edward, and Japan's Crown Prince Naruhito were among them, as well as King of the Belgians Albert II and Queen Paola, who have family ties with the Luxembourg monarchy.
Also in attendance were Norway's King Harald V and Queen Sonja, Prince Hans-Adam II and Princess Marie of Liechtenstein, Queen Beatrix of The Netherlands, Queen Margrethe II of Denmark and her consort Prince Henrik, Sweden's Queen Silvia and Princess Lalla Salma, wife of Moroccan King Mohammed VI.
Grand Duke Henri of Luxembourg, also in full dress uniform, was accompanied by Stephanie's aunt, the sister of Countess Alix de Lannoy, who died in late August. Saturday's wedding mass began with a minute of silence in her honour.
The couple clowned on the balcony after the wedding, pretending to have met there by accident, before exchanging a first brief kiss followed by a longer one to the cheers of the crowd.
Guillaume, who will become Luxembourg's seventh grand duke, was Europe's last royal bachelor.
He said ahead of the event: "Our wedding is an international event, meaning it's a good excuse to show Luxembourg's festive side."
The grand duke plays an essentially ceremonial role in the tiny country of some half a million people lodged between France, Belgium and Germany, a wet and windswept place best known as a financial hub and tax haven.
Luxembourg's Nassau-Weilbourg dynasty dates to 1890. Grand Duke Henri, 57, became the sixth in the line when his father Jean abdicated in 2000.
The pair leave on honeymoon on Sunday for a destination that has not been revealed.