The Duke of Cambridge's cousin Princess Eugenie - the daughter of the Duke of York and Sarah, Duchess of York - was also baptised there in 1990.
The decision of the Queen and the Duke of Edinburgh not to attend the service at the Chapel Royal, St James's Palace, was revealed a few hours before the ceremony.
The monarch was due to return to London on Monday before a busy schedule of events including a meeting with U.S. President Donald Trump on Friday at her Windsor Castle home.
Princess Charlotte, teach us your waving technique!
As Kate chatted to the archbishop while holding Louis, she could be heard describing her sleeping son as "very relaxed and peaceful".
The Chapel Royal is where the coffin of William's late mother Princess Diana lay in rest ahead of her funeral in 1997, to allow the family to pay their last respects.
Miss Middleton and Mr Pelly each read a lesson during the service, Kensington Palace said. The number featured a Peter Pan collar and button fastenings through the front which she accessorised with a coordinating hat, and off-white Jimmy Choo heels.
As with her previous two children, Kate chose an all cream ensemble by Alexander McQueen, with a Jane Taylor fascinator, and beamed as she carried her youngest to the venue, while William held hands with George and Charlotte.
Prince Harry and Meghan were also in appearance, along with Kate's parents Carole and Michael Middleton.
The Duke and Duchess of Cambridge chose hymns O Jesus, I Have Promised and Lord of All Hopefulness for the ceremony.
The anthems were "This is the day which the Lord hath made" (John Rutter) and "Suo Gan, a traditional Welsh Lullaby" (Gareth Wilson).
It was created by the Queen's dresser Angela Kelly, and features the same lengthy skirt and elaborate collars and bow as its predecessor.
According to tradition, water from the River Jordan is set to be used for Louis's christening. Guests will be served slices of christening cake, which is a tier taken from The Duke and Duchess of Cambridge's wedding cake.
Prince Louis Arthur Charles of Cambridge was born on April 23 - St. George's Day, England's national day - at St Mary's Hospital in central London weighing eight pounds and seven ounces (3.8 kilogrammes).