Nicola Calipari, 51, was hit in the head on Friday as he was trying to protect the journalist from a hail of bullets by US troops firing at the convoy attempting to carry her to safety.
Draped in the Italian flag, the coffin with Calipari's remains was carried from a military aircraft at Rome's Ciampiono airport late on Saturday with full military honours.
Sgrena and two other Italian agents who travelled in the same vehicle were wounded in the incident.
Italian President Carlo Azeglio Ciampi and Pope John Paul II hailed the officer as "a hero" who saved Sgrena's life.
The Italian president cut short a visit to Naples to oversee the ceremony at the airport.
At Ciampi's side stood Calipari's devastated wife Rosa Maria, the couple's 19-year-old daughter and 13-year-old son as well as Prime Minister Silvio Berlusconi.
Calipari, who was head of the Italian intelligence mission in Iraq, had been involved in negotiations leading to Sgrena's release after a month in captivity.
Italians will be able to pay their last respects to Calipari when he lies in state on Sunday at the Vittoriano, Italy's national monument, before a state funeral scheduled for Monday.