The 81-year-old leader, who was married in a Catholic church and once referred to the pope as his spiritual father, was accompanied on the trip by Higher Education Minister Herbert Murerwa, Zimbabwe's state radio said.
Telenews, a channel that monitors flight arrivals and departures in Rome, said Mugabe arrived at Fiumicino airport at 9am local time.
The Vatican, a sovereign state, is not a member of the EU and has no airport, but EU member Italy should normally comply with the travel ban imposed on Mugabe.
However, under a 1929 pact between Italy and the Vatican, Italian authorities agreed not to stop visitors to the world's
"President Mugabe left Harare last night (Wednesday) for Rome, Italy, to attend Pope John Paul II's funeral scheduled for tomorrow (Friday) in the Vatican City," the news broadcaster said.
A galaxy of world leaders are in
Rome to pay their last respects
State radio did not say if Mugabe's wife, Grace, was with the two men.
On Monday, Mugabe paid rich tribute to the spiritual leader of more than one billion Catholics, saying: "His teachings should shape the way we walk, allowing especially those leaders who advocate wars, are not merciful to the poor, or who plunder resources of other countries."
"He was a soft man, his touch was soft, his words, and indeed his heart was as soft as he was," he said.
The EU imposed sanctions on Harare after Mugabe won Zimbabwe's last presidential poll in 2002, amid widespread allegations of fraud and intimidation.
Mugabe has been in power since 1980 when the country gained independence from Britain and has acquired a questionable human-rights record.
"The pope was a soft man, his touch was soft, his words, and indeed
his heart was as soft
as he was"
Zimbabwe President Mugabe
The sanctions consist of an arms embargo, a travel ban on Mugabe and about 100 members of his government and people close to him, and a freeze on funds of people suspected of having committed human-rights violations in the country.
Priscilla Misihairabwi, foreign affairs secretary of Zimbabwe's main opposition Movement for Democratic Change (MDC) party, said the travel ban showed up Mugabe's standing internationally.
"The situation has not changed. He can only wait for state occasions such as UN conferences and funerals like this to travel to Europe. What does this say about a head of state?" she said.
"He is only granted a temporary waiver and his movements are limited within a certain radius."
The pope will be buried on Friday
In February 2003, Mugabe went on a controversial visit to France to attend a Franco-African summit, which was marred by protests.
"We've had tremendous hospitality, we felt at home," he said at the time, as French President Jacques Chirac defended the invitation as a way to confront Mugabe face to face over human-rights abuses and lawlessness in his famine-ridden country.
In December 2003, Mugabe visited Switzerland to attend a summit on information technology for which Bern gave him special authorisation.
In February this year, EU foreign ministers met in Brussels and agreed to extend sanctions, including the arms embargo, against Zimbabwe for another year in protest against human rights violations in the country.