Brad and Angelina, who flew to Mumbai by a private helicopter Saturday, were also seen cruising around at the Gateway of India. Maddox, five, sat on his papa's shoulders while Zahara, one, was perched in her mama's arms.
The family, along with biological daughter Shiloh Nouvel and a bevy of bodyguards, is staying in a five-star hotel in the upmarket south Mumbai area.
Angelina is in the city to shoot for a film based on the life of slain American journalist Daniel Pearl, who lived in the city for seven years. She plays Pearl's widow Marianne in "A Mighty Heart", produced by Brad's production house.
The film will chart Pearl's life and career until his abduction and murder by Al Qaeda terrorists in Karachi.
Brad and Angelina were earlier in Pune where they shot parts of the film with Bollywood actor Irrfan Khan and others.