The closing ceremony is entitled "Beauty in Action" and will also feature leading Italian ballet dancer Roberto Bolle in what is a celebration of Italian art as well as sporting achievement.
The initial video sequence featured Deborah Compagnoni, an Olympic champion from the 1990s, wearing an evening dress but with her skis with her.
The Games, formally co-hosted by Milan and Cortina d'Ampezzo, and spread across a large area of northern Italy have been hailed as "incredible" by International Olympic Committee President Kirsty Coventry, and the atmosphere has been further buoyed by a record medal haul for the Italians.
Italian Prime Minister Giorgia Meloni, who was in Verona, was in a celebratory mood.
"The Olympics have given us unforgettable emotions and a sense of pride that will remain with Italy for a long time to come," she wrote on X, adding that the smooth running had "brought prestige to the entire nation".
Open-air celebration
The ceremony is being held in an open-air Roman amphitheatre renowned for staging opera and pop concerts in the heart of the northern Italian city made famous as the setting for William Shakespeare's play "Romeo and Juliet".
The Italian hosts will formally hand over to the French Alps, the venue for the next Winter Games in 2030.
Security was tight around the 2,000-year-old Arena, in the heart of Verona, with barriers set up to limit access and a helicopter circling overhead. Some tourists were surprised to find access to the main Piazza Bra restricted.
Hundreds of people marched through Verona a few hours before the Olympics closing ceremony to protest against housing costs and environmental concerns linked to the Winter Games.
The “Olympics? No thanks” rally was organised by university groups and associations that oppose hosting an event they say disrupts forests, pours concrete onto fragile land and deepens social inequality.
Athletes let their hair down
However, with the Olympic medals won and lost, the tone of the closing ceremony in the Arena was set to be relaxed and free-wheeling. Italian singer Achille Lauro and DJ/producer Gabry Ponte were on hand to get the party going.
Tickets were priced from 950 euros ($1,120) to a top level of 2,900 euros. The weather has been relatively kind, with no rain on a chilly evening.
"The ceremony in the Arena will certainly be something unprecedented in Olympic history," Damiano Tommasi, mayor of Verona, and a former Hellas Verona and AS Roma soccer player, told Reuters.
"Personally, it motivates me to work towards planning a bid for the Summer Games in Italy, which have been missing for far too long," he added.
Rome hosted the Olympics in 1960 and the Italian capital dropped a bid for the 2024 Games which were held in Paris.
Positive feedback
The Milan Cortina Games have followed a new blueprint, with sporting events spread over a wide area of northern Italy. Feedback from athletes has been positive.
"I would say ... to Italy, I think that they did an absolutely fantastic job hosting the Olympics," said US freestyle skier Christopher Lillis, praising the venues, food and friendly atmosphere.
Olympic cauldrons have burned in Milan and Cortina d'Ampezzo since the Games opened on February 6.
These will be extinguished on Sunday but reignited for the Paralympics which run from March 6-15.