Shah Rukh, who took a ride on a train after seven years, was accompanied by his "Don" co-star Priyanka Chopra, who also endorses Pepsi.
The 11-bogey special train done up in blue and white with a catchline that resonates through all of Pepsi's ad campaigns - "Oooooh Aaaaah India, Aaaaah Yaaaaa India!" - written on it chugged out of Delhi's Safdarjang station early Sunday with about a 100 cricket fans.
The platform looked like a set from a Bollywood flick with blue and white balloons adorning the platform, and girls and boys dressed in the Pepsi uniform dancing to the catchline song. Turbaned waiters served snacks to passengers, and Pepsi products could be picked up for free.
The "Blue Billion Express" - clearly India's biggest road show ever - is the first major brand-specific communication that Pepsi has come out with after high level of pesticides were allegedly found by Centre for Science and Environment.
"Indians are the biggest fans of cricket. This campaign is about the fans, their passion. It is not about the cricketers or the stars who endorse Pepsi," Shah Rukh told reporters on board the special train.
On the importance of sports, the actor said: "We should encourage our youth to plays sports, if not for anything else, then for its team spirit. I think games should not be glamorised, but commercialised.
"There should be enough money in the sport, so that we can have 'professional' sportspersons. No parent should be able to question the choice of his child's decision to become a sportsperson.
Asked about his favourite cricketer, he said: "I have a lot of favourites. And some of them are good friends too. But I think it is we who make or break a team. It is fans who can make a team win by cheering them."
"We will win this cup and the World Cup too... Inshallah."
Comparing a cricket match to a Bollywood film he said the tension was the same in both. Before the match is played or before the movie is set for release - there is this big question mark about the end result.
Priyanka, dressed in a white top and short denim skirt, said her favourite cricketer was Rahul Dravid. "He is my favourite, and also looks great, which only helps," she laughed.
She said she gets "mad" each time the Indian team loses a match.
Pepsi's marketing head Punita Lal said: "Pepsi has unbottled the passion of cricket in India. The game has never been about fans, it has always been about stars. For the first time a big brand is focussing on fans."
A special feature of the train was a cricket museum created inside it, displaying exclusive cricket memorabilia such as the ICC Champion's trophy and a cricket bat that belongs to star cricketer Sachin Tendulkar on display.