"I will visit the (shrine of) Shri Mata Vaishno Devi with my family, including my brother (Sanjay Dutt) and pray there for him," she told reporters.
Sanjay Dutt had visited the shrine in the mid-1990s along with his late father, actor-turned-MP Sunil Dutt.
A special court conducting the trial after the 1993 serial blasts in Mumbai that killed 257 people acquitted the star of terror charges but found him guilty under the Arms Act.
The court, which is expected to begin sentencing the accused in the case next month, asked him to surrender by Dec 19.
Sanjay Dutt's popularity has scaled new heights following the success of his "Lage Raho Munnabhai", a film depicting the values preached by Mahatma Gandhi.
Sporting a fawn shawl over white kurta and trousers, Pryia Dutt visited important shrines of various faiths here - Raghunath temple, Peer Baba, a Sikh temple and a church. "I have visited these shrines because my father also used to visit these places of worship during his visits to this city," she said.