Its stars, Daniel Day-Lewis, Leonardo DiCaprio and Cameron Diaz, and their director Scorsese turned up for the screening at the city's Ziegfeld Theater.
"It's a dream come true," said Diaz. "I am not just saying that. Martin is a master film-maker and to be an actor who gets to be in his epic film. Is there anything better than that. I don't think so."
Day-Lewis said it would be tough seeing the film for the first time, adding: "When you see a film for the first time it is hard to see it for itself - there are so many associations with the film for me which have nothing to do with the actual film itself."
Scorsese said he felt "pretty cold" due to the freezing temperatures but that he wanted enjoy the film with the audience.
The stars were joined at the première by U2's singer Bono, who composed a song for the soundtrack. He was accompanied by fellow band member The Edge.
Nicole Kidman and Moulin Rouge director Baz Luhrmann also attended, as did actor Harvey Keitel and singer Billy Joel.
The troubled drama, a project Scorsese has been working on for the last 25 years, stars DiCaprio as a young hoodlum who vows to avenge his father's death in 1840s New York.
He is sworn to kill rival gang leader Bill "The Butcher" Cutting, played by Day-Lewis.
The film is set in the 1840s-60s, a time when Irish and Italian gangs fought for control of the city's underworld.
Diaz plays a thief who falls in love with DiCaprio's character.
The film was shot on a huge film set at Cinecitta Studios, in Rome.
Delays over cutting the film down from its original three-hour 40-minute version were blamed for the lengthy delay in finishing the film.
Film critics say it may be one of the last big-budget films shot on large outdoor sets.
The US première was not the film's first - it has already premièred in Japan, and will be released in the US on 20 December.