D-finite (or holonomic) functions satisfy linear differential equations with polynomial coefficients. They form a large class of functions that appear in many applications in Mathematics or Physics. It is well-known that these functions are closed under certain operations and these closure properties can be executed algorithmically. Recently, the notion of D-finite functions has been generalized to differentially definable or Dn-finite functions. Also these functions are closed under operations such as forming (anti)derivative, addition or multiplication and, again, these can be implemented. In this paper we investigate how Dn-finite functions behave under composition and how they are related to algebraic and differentially algebraic functions.