Fellow singers, including SHINee`s Minho and members of bands Super Junior and Girls` Generation, joined the funeral procession.
Kim, 27, was found unconscious next to burning briquettes on a frying pan inside a serviced residence in Seoul on Monday, police told Reuters.
Yonhap news agency had reported that the singer sent a final message to his sister asking her to "let me go".
Kim spent nearly a decade as one of five members of SHINee, one of the most popular bands in the country, as well as a solo artist. His death was a massive blow to the worldwide fan base that Korea`s K-pop music has attracted in recent years.
K-pop is the rage in Asia and other continents, with a song by the group BTS maintaining a spot on the Billboard 200 for seven weeks as of the end of November.