The coronation ceremony was witnessed by royals and European heads of state.
43-year-old Guillaume is Luxembourg's seventh grand duke since 1890 when the modern monarchy was established.
Grand Duke Henri, 70 years old, has sat on the throne for almost 25 years and has mainly had representative duties as the country's monarch.
The Swedish royal family has distant family ties to the monarchy in Luxembourg. Through his grandmother, who was the daughter of King Leopold III of Belgium and Princess Astrid of Sweden, the abdicating Grand Duke Henri is a distant relative of King Carl XVI Gustaf.