The guest list also included NBA stars Pau Gasol and Harrison Barnes.
Former World No. 1 Angelique Kerber and NFL star Jesse Palmer were also there to celebrate.
The magazine reports Wozniacki stunned in an Oscar de la Renta floral lace embroidered gown.
She went to Instagram after the event to describe the weekend as the best of her life.
The Danish star got engaged to Lee in November 2017 after the 35-year-old popped the question with an 8.88-carat ring.
She was also previously engaged to Northern Irish golfer Rory McIlroy — who she was in a relationship with from 2011-2014.
It is shaping up as a whirlwind honeymoon for the World No. 14, who is scheduled to compete in the Eastbourne Tennis Championships the week before Wimbledon in the UK.
Wozniacki in April celebrated her final days of being single when she held her hens party in the Bahamas.
Wozniacki, 28, documented her wild weekend — posting a number of snaps and videos to her 1.4 million followers on Instagram.
Among those attending her bachelorette party were American tennis stars Serena Williams, Nicole Gibbs and model Hannah Jeter.
Wozniacki's party all wore matching swimsuits with "Caro's Crew" printed on the front as they wowed along the beach.
They were also pictured drinking on a boat, playing with the island's famous swimming pigs and even performing a Backstreet Boys-inspired dance routine.
