The first funerals were held on Thursday for three of the nine victims - Dawna Ray Langford and her two sons, aged 11 and two. The other victims are expected to be buried later, reports the BBC.
Amid tight security, about 500 mourners gathered beneath white marquee tents in La Mora village and took turns to file past the hand-made coffins in a single grave dug by members of the community.
Three families - the Langfords, Millers and LeBarons - are part of a large group of US Mormons who moved to Mexico in the late 19th Century, fleeing persecution for their traditions. All the victims were joint US-Mexican citizens.
The massacre took place on Monday when a group of three mothers and their 14 children set off in three cars from the La Mora ranch, to go to another Mormon settlement, Colonia LeBaron, in neighbouring Chihuahua state.
Three women and six children were killed, while six other kids were injured. One child emerged unharmed and another initially feared abducted was later found.
All the victims had dual US-Mexican citizenship.
Meanwhile, the Mexico Army has said that the ambush might have been a result of a turf battle between rival drug cartels.
Chief of aRMY Staff, Brig. Gen. Homero Mendoza Ruiz told the media on Wednesday day that as initially suspected, Monday's bloodbath was connected to events hours earlier in Agua Prieta, a town on the US border where at least one person died in a pre-dawn clash between the La Linea and Los Salazar groups, Efe news reported.
La Linea is thought to be a offshoot of the Juarez drug cartel, while Los Salazar may have links to the powerful Sinaloa cartel, whose founder, Joaquin "El Chapo" Guzman, is currently serving a life sentence in an American prison.
The Mormons were traveling in SUVs - commonly used by cartel gunmen - and La Linea could have mistaken them for Los Salazar, Mendoza Ruiz added.
( With inputs from IANS )