Gov. Cuomo, Mayor de Blasio and New York City first lady Chirlane McCray attended midnight Mass at St. Patrick's Cathedral to mark Christmas, the mayor's office said.
De Blasio and McCray plan to go to Connecticut later Thursday, his office said.
The mayor tweeted a holiday message on Wednesday that referred to recent events that "have brought great pain to our city."
There have been frequent protests since a grand jury decided not to indict a police officer in the death of Eric Garner. Critics have argued de Blasio has not done enough to stand by police. Two officers were killed in an ambush on Saturday and de Blasio asked for protests to stop until their funerals are complete.
"The beauty and the strength of New York is that we don't let moments like these divide us," de Blasio said in the statement. "As we have done together as a city so many times before, we will take this moment as an opportunity not just to heal, but also to grow back stronger and more united than we've ever been."
Cardinal Timothy Dolan delivered the sermon, mentioning the unrest in the city in recent weeks.
"I suppose that's why you're here, Mayor de Blasio, as we face tensions and divisions in our beloved city, as you and other leaders try your best to invite us to dialogue, to listen instead of shouting and to work together instead of accusing," Dolan said.