The shooting, which began from Monday, is taking place at FilmCity. It is a start to finish schedule till March this year, Madhuri's secretary Rakeshnath said.
Madhuri is facing the camera after nearly four years post marriage as well as motherhood, since Sanjay Leela Bhansali's 'Devdas' where she had played Chandramukhi.
'Aaja Nachle' also stars Akshaye Khanna, Ranvir Shorey, Kunal Kapoor, Konkana Sen Sharma and Divya Dutta among others.
Madhuri, who is based in Denver, US along with her husband Dr Sriram Nene, plays the role of a theatre actress in the film.
On the first day of the shoot at Yashraj Studios, producer Yash Chopra welcomed her personally.