The service for 24-year-old Nova Henry and her 9-month-old daughter, Ava, was at Calvary Baptist Church in Glenwood. Henry was remembered as "humble" but a "superstar."
Knicks spokesman Jonathan Supranowitz told The Associated Press that Curry was in Illinois early Saturday for a private viewing and wouldn't be attending the funeral. He declined to offer further comment.
"Your well wishes and prayers are the reason I can stand up here now," Henry's mother, Yolan Henry, told mourners. "Whoever did this and whatever did this, it's going to be taken care of by God."
Authorities found the bodies inside Henry's Chicago apartment Jan. 24. An autopsy showed both were shot to death.
At the scene, authorities also found Henry and Curry's 3-year-old son. He was unharmed.
Chicago police spokesman Dan O'Brien says no one has been charged in the slayings.
Curry is a former Chicago Bulls player.