They were accompanied by Prince Charles and the Duchess of Cornwall, Prince Harry, Prince Andrew and Prince Edward.
The service was broadcast live on BBC One from 2.45pm.
The Commonwealth Service is Britain's largest annual inter-faith gathering, held on the second Monday in March each year. Among the 2,000-strong congregation will be more than 1,000 children from schools and youth groups.
Prime Minister Theresa May and her Maltese counterpart Joseph Muscat, the current Commonwealth chairman, will also attend the service.
The pair will later discuss plans for a meeting of Commonwealth leaders in April 2018.
Prime ministers and presidents from more than 50 countries will meet at a summit in 2018 as the UK looks to forge new trade relations ahead of Brexit.
The Queen will also open the doors of Buckingham Palace and Windsor Castle to the leaders.
Mrs May said: "As we prepare to host the Commonwealth summit in London next April, we are reminded today of the unique and proud global relationships that we have forged with the diverse and vibrant alliance of Commonwealth nations.
"The UK has a long-standing and firm commitment to the Commonwealth and to the values it upholds, of democracy, human rights and the rule of law.
"And in hosting the Commonwealth summit next year, the UK is committed to working with all members not only to reaffirm these shared values, but also to re-energise and revitalise the Commonwealth to cement its relevance to this and future generations."
The Commonwealth is made up of 52 countries with a total population of 2.4 billion.