L/Cpl Craig Roberts from Penrhyn Bay, Conwy, and a second soldier died last weekend as temperatures reached 30C on a 40-mile hike at the end of a four-week trial.
The annual Abergavenny Armed Forces Day service included tributes to the men.
Forces veterans and cadets also marched through the town.
St Mary's Priory Church has no direct connection with the men but its vicar, Rev Mark Soady, was a TA chaplain.
'One of their own'
Announcing the adaptation of the service to pay tribute to the men, Rev Soady said: “There is a feeling of loss in the wider community.
“We see these soldiers going through the town as they come up to the mountains, so the families that live here in Abergavenny think of them as one of their own, really.”
The service took place on Sunday afternoon.
Former army signaller Katie Garnett, a member of Brecon Mountain Rescue Team called out to the emergency, placed a book of remembrance on the church's altar while former Army chaplain Rev Ray Hayter gave the address.
A third reservist was taken to hospital in a serious condition after a total of six soldiers are thought to have collapsed in the intense heat on Pen y Fan on 13 July.