Winnie died on April 2 in Johannesburg after a brief illness.
American civil rights activist Jesse Jackson is expected to attend, as are the presidents of Namibia and the Republic of Congo.
Often called the "Mother of the Nation" and "Mama Winnie", Madikizela-Mandela fought to keep South Africa's anti-apartheid struggle in the worldwide spotlight while her husband, Nelson Mandela, was imprisoned.
"Today, we lay to rest our heroine, a struggle stalwart and mother-to-the-nation", the government tweeted Saturday.
Thousands of mourners have crowded into a stadium in Soweto, near Johannesburg, where the campaigner is being given a high-level send-off.
They were married for a total of 38 years.
Zezani was almost born in prison, as Winnie Mandela was arrested close to her birth in 1959 and when she was four her father was sent to prison, where he would stay for the next 27 years. And all we ask is: "no matter how tempting it may be to compare and contrast them, just know that sometimes it is enough to contemplate two historical figures and accept that they complemented each other, far more than any popular narrative might suggest". While Mandela was imprisoned at Robben Island, she became his voice, providing regular updates to followers hungry for every detail.
She added that "praising her now that she is gone shows what hypocrites you are".
While their marriage withstood the battle against apartheid, it couldn't withstand the pressure of freedom.
"Proud, defiant, articulate, she uncovered the lie of apartheid", President Cyril Ramaphosa mentioned throughout his tribute. "'That statement and those tears have stayed with me since that day", Ramaphosa said.
He said, in the same manner, Madikizela-Mandela's death united the country in sorrow, it should unite the country in a common goal.
Born in 1936 in what is now known as Eastern Cape province, Nomzamo Winifred Madikizela was the daughter of a history teacher.
Madikizela-Mandela was honoured with a State burial on Saturday that saw world leaders congregate to pay their last respect to the social worker who later became the face of resistance against apartheid. In 1993 she was elected president of African Nationa Congress (ANC). Though she fought fiercely for democracy, Madikizela-Mandela floundered in a political career after the first free elections in 1994.
The British supermodel Naomi Campbell also addressed the mourners where she also broke down while on the podium. Speaking on Madikizela-Mandela's sustained activism while many ANC members were in prison or in exile, he said, "She felt compelled to pick up a spear that had fallen".
CNN's Eleni Giokos reported from Soweto, while Faith Karimi wrote from Atlanta, and Laura Smith-Spark wrote from London.