Ali Abbas Zafar, who is directing the film, took to Twitter on Tuesday to share photographs from the set.
"Shooting in 40 degrees 'Sultan' at beautiful Jama Masjid, last three weeks (sic)," Zafar captioned the images.
In one photograph, Zafar can be seen posing in front of the camera with Jama Masjid in the backdrop.
The second image shows the view of the iconic red sandstone mosque on the screen of the video camera.
After Delhi, the whole cast of the film will shoot in western Uttar Pradesh from Wednesday onwards.
The film, being produced by Yash Raj Films, will be shot in and around the Morna area in Muzaffarnagar.
'Sultan', which also stars Anushka Sharma and Randeep Hooda, is slated to release on the Eid in 2016.