Why not really a question related to personal injury, DUI or construction, someone recently texted me asking me this question. While not only considerate, the answer is yes. Arizona law requires pedestrians and vehicles alike (except for emergency vehicles) to yield the right of way to a funeral procession led by an escort or a military procession being led by a military escort vehicle. The law also allows the procession to make turns or movements as directed by the escort, regardless of traffic controls.
The escort (assuming properly licensed) may also control traffic to ensure that procession without regard to traffic controls. So the next time you are on road and you see a funeral procession and you ask yourself if have Legally Have to Yield To A Funeral Procession, yes you do. It is not only the law, but it is common decency.