He was buried at Saint Olave Hart Street, an Anglican church in the City of London, located on Hart Street near Fenchurch Street railway station.
The church is one of the smallest in the City and is one of only a handful of medieval City churches that escaped the Great Fire of London in 1666. It is dedicated to the patron saint of Norway, King Olaf II of Norway, who fought alongside the Anglo-Saxon King Ethelred the Unready against the Danes in the Battle of London Bridge in 1014. He was canonised after his death and the church of Saint Olave's was built apparently on the site of the battle. The Norwegian connection was reinforced during the Second World War when King Haakon VII of Norway worshipped there while in exile.
The church is first recorded in the 13th century as Saint Olave-towards-the-Tower, a stone building replacing the earlier (presumably wooden) construction. The present building dates from around 1450. It survived the Great Fire thanks to the efforts of Sir William Penn, the father of the more famous Penn who founded Pennsylvania. However, it was gutted in 1941 during the Blitz and was restored in 1954, with King Haakon returning to preside over the rededication ceremony.
Saint Olave's has a modest exterior in the Perpendicular Gothic style with a somewhat squat square tower of stone and brick, the latter added in 1732. It is deservedly famous for the macabre 1658 entrance arch to the churchyard, which is decorated with grinning skulls. The novelist Charles Dickens was so taken with the arch that he included the church in his Uncommon Traveller, renaming it "Saint Ghastly Grim".
The church was a favourite of the diarist Samuel Pepys, who worked in the nearby Navy Office and worshipped regularly at Saint Olave's. He referred to it affectionately in his diary as "our own church" and both he and his wife are buried there, in the nave.
Most of the church fittings are modern, but there are some significant survivals, such as the monument to Elizabeth Pepys and the pulpit, said to be the work of Grinling Gibbons.