The Olympic medal winner led the animals from city hall down Donegall Place, ahead of a ceremony which will make her a Freeman of the city.
The athlete acted out the popular myth that allegedly gives those conferred with the honour the chance to graze sheep on the lawn of Belfast City Hall.
Dame Mary Peters said she was delighted to take the chance to move her flock through the streets of Belfast, her hometown.
"What a wonderful joy it is to be here at city hall to be able to take my flock of sheep across the road.
"At one of the meetings I said 'Mary had a little lamb' and I was determined to have this opportunity," she added.
The honour will be bestowed on Dame Mary at a ceremony held next month and she told UTV she was privileged to receive the title, which has not been awarded to an individual for around 30 years.
Belfast's Lord Mayor, Gavin Robinson explained that herding animals in the grounds of city hall left him a little further out of his comfort zone.
He explained: "With the freedom of the City people assume that you get the right to graze your sheep so we thought, why not do it.
"It's not easy, I'm not from farming stock, so it's not something I'm used to doing on a Sunday morning."