The service, which lasted several hours, was taken by the Archbishop of Canterbury, and was followed by a Reception in the Cathedral's Marquee.
Also joining the service were Steve's Parliamentary colleagues Sir George Young and Maria Miller, as well as the new Lord Lieutenant, the High Sheriff, the Mayor of Winchester, the leader of Hampshire County Council, the Hampshire Police & Crime Commissioner and many worshippers from David's Christ Church congregation in St Cross.
Speaking after the service, Steve said: "David is someone I've known for many years and a man I have a huge amount of respect for.
"We've often chatted about local issues, national issues and matters of faith and I value his counsel greatly.
"It's sad for Christ Church he's going but the great thing is he isn't going far and he will be a truly tremendous addition to the family of Bishops and to the Diocese."