In addition to the joy of Inaugural Parades, the Avenue has also seen the sorrow of seven Presidential funeral processions, including processions for the four who died by assassination. William Henry Harrison, who had caught a chill during his two hour long inaugural address, died from pneumonia on April 4, 1841, one month after taking office. The first president to die in office, Harrison's body was escorted up the Avenue by twenty-six pallbearers, one for each state. The new president, John Tyler, as well as the Cabinet, the Diplomatic Corps, and fourteen militia companies made up the procession. President Zachary Taylor was the next president to die in office, and his, July 13, 1850, funeral procession stretched for over two miles behind the hearse.

The death of President Abraham Lincoln, on April 15, 1865, shortly after beginning his second term, and just days after Robert E. Lee's surrender to Ulysses S. Grant, resulted in an unprecedented outpouring of grief nationwide. The first president to die by assassination, Lincoln's body was escorted from the White House to the Capitol on April 19 by a cortege numbering 30,000. Arriving late and unable to take its assigned position, the 22nd Colored Infantry fell in at the head of the procession, while African-American lodge groups brought up its rear. James Garfield, who was shot at the Baltimore and Potomac Railroad station just off the Avenue on July 2, 1881, died of his wounds ten weeks later while attempting to recover at the New Jersey shore. Returned to Washington by train to that same station, Garfield's body was escorted up the Avenue to the Capitol by a procession that included the new president, Chester Arthur, and former president Grant.

Shot by an assassin in Buffalo, New York on September 6, 1901, President William McKinley's body was returned to Washington by train ten days later. On September 17, the dead presidents casket was escorted down the rain dampened Avenue from the White House to the Capitol. Carriages bearing the new President, Theodore Roosevelt, and former president Grover Cleveland preceded the marchers. President Warren G. Harding died of a cerebral stroke in San Francisco on August 2, 1923. The funeral train arrived at Union Station on August 7th, and the next day, General John J. Pershing and a cavalry escort led the funeral procession from the White House to the Capitol. Shot by an assassin in Dallas, Texas on November 22, 1963, President John F. Kennedy's funeral procession along the Avenue two days later was televised worldwide. The slain president's casket rode on the same caisson that had borne Franklin Roosevelt's body down Constitution Avenue eighteen years earlier, making Roosevelt the only President to die in office whose procession did not take place on Pennsylvania Avenue.

The Nation has honored other figures with funeral processions down the Avenue as well. The first state funeral procession on the Avenue was for Vice President George Clinton in 1812. Former presidents John Quincy Adams (1848) and William Howard Taft (1930), serving as Chief Justice of the Supreme Court upon his death, were honored by Avenue processions, as were Generals Jacob Brown (1828), Alexander Macomb (1841), Philip Sheridan (1888), Admiral George Dewey (1917), and Ambassador Adlai Stevenson (1965). On March 2, 1844, the five victims of the USS Princeton gun explosion disaster, including Secretary of State Abel Upshur and Secretary of the Navy Thomas W. Gilmer, were honored with an Avenue funeral procession led by President John Tyler. The Nation also honored the Unknown Soldier of World War I with a procession down the Avenue on November 11, 1921. Marching the entire distance on foot behind the caisson were President Harding, General Pershing, and Chief Justice Taft. The ailing former president, Woodrow Wilson rode in a carriage, which was followed by the entire U.S. Congress.