Khanna's grandson Aarav performed the last rites Thursday after the star's body was carried from his home in a glass coffin by a truck festooned with photographs.
Thousands lined the streets to view the funeral procession.
Khanna died Wednesday of undisclosed causes at age 69.
He was known as the "King of Romance" and played the lead in most of his 170 movies, earning fame that had directors booking him for his box-office draw.
Screaming fans would surround Khanna in public, and women wrote him letters in their blood. But his appeal waned as Bollywood shifted toward action films.