Mourners gathered at St Matthew’s Church, Bryson Street in the city at 10am to pay their respects to the 36-year-old.
Mr McMahon, from the Short Strand area of Belfast, was taken ill during the incident in Great Victoria Street in the city at about 5am last Thursday morning.
The Police Service of Northern Ireland said officers had responded to reports of a man behaving violently on the street and that he suffered injuries while being restrained.
The case was transferred to the Police Ombudsman’s office which confirmed CS spray had been used, but it is not yet known if it contributed to the Mr McMahon’s death.
Mr McMahon’s grieving parents have called for a “swift and thorough” investigation into the circumstances surrounding their son’s death.