The three-day gala, estimated to cost $US50 million ($A76 million), will culminate on Saturday evening with the closing party in a former medieval shipyard where Lady Gaga and Elton John are expected to perform.
Bezos, 61, and Sanchez, 55, exchanged rings on Friday evening on the small island of San Giorgio, across the water from Saint Mark's Square, accompanied by singing from Matteo Bocelli, son of Italian tenor Andrea Bocelli.
The bride at the ceremony wore a high-necked silhouette dress and a tulle and lace veil by Dolce and Gabbana, which she told magazine Vogue was based on Sophia Loren's dress to marry Cary Grant in the 1958 film Houseboat.
Sanchez was also wearing a pair of diamond earrings by Dolce & Gabbana, which, according to Vogue, were lent to her in keeping with the tradition that it brings good luck for a bride to wear something borrowed.
Bezos, who is No.4 on Forbes' global billionaires list, donned a black tuxedo and bow tie over a white shirt.
The ceremony had no legal status under Italian law, a senior city hall official told Reuters, suggesting the couple may have already legally wed in the United States, avoiding the bureaucracy associated with an Italian marriage.
Bill Gates, Leonardo DiCaprio, Orlando Bloom, Tom Brady, Jordan's Queen Rania, Oprah Winfrey, Kris Jenner and Kim and Khloe Kardashian, as well as Ivanka Trump and Jared Kushner and Domenico Dolce from Dolce & Gabbana were among the 200-250 guests.
While the celebrities rub shoulders in the isolated halls in the east of the city, not far away activists will be protesting at what they see as Venice being gift-wrapped for ultra-rich outsiders.
A protest march is planned at 5pm on Saturday from the railway station to the Rialto Bridge.
For days, members of the "No Space for Bezos" movement have been trying to spoil the party, hanging anti-Bezos banners on the iconic Rialto Bridge and laying out a huge canvas in central Saint Mark's Square telling the tech-tycoon to pay more taxes.
While some residents and activists see Bezos' extravaganza as a symbol of inequality and arrogance, Venice's businesses and the city authorities have welcomed the event, claiming a major boost for the local economy.
"Those who protest are in contradiction with the history of Venice, which is a history of relations, contacts and business," the city's mayor Luigi Brugnaro told Reuters in an interview.
"Bezos embodies the Venetian mentality, he is more Venetian than the protesters," said the mayor, adding that he hoped Bezos, who donated 3 million euros ($A5.4 million) to local institutions, would return to the city to do business.
Brugnaro said Bezos had attached no conditions to holding his wedding celebrations in Venice, and City Hall had only learned about his donations after they had already been made.
Bezos, Amazon's executive chair, became engaged to Sanchez in 2023, four years after the collapse of his 25-year marriage to MacKenzie Scott.
