But hours after being detained at the Newark Liberty Airport in New Jersey Friday, Khan participated at an event advertised as a "Dinner with Shah Rukh Khan" at the Trump Taj Mahal Casino.
Though he jokingly referred to the incident during his performance, SRK spoke out strongly against his treatment at the airport after the event, saying "it was not a good feeling" when the security officials took him to a separate room for questioning.
"I appreciated my independence a million times more today, I wish I was in India on Independence Day, " said Khan who was on way to Chicago to take part in an Independence Day event.
In New Delhi, External Affairs Ministry Spokesman Vishnu Prakash said India had taken up the issue with the US embassy.
"The matter was taken up with the US embassy, " Prakash said.
In a statement, US Ambassador to India Timothy J. Roemer said: "We are trying to ascertain the facts of the case - to understand what took place."
Shah Rukh was a "global icon" and "he is a very welcome guest in the United States. Many Americans love his films, " the envoy added.
The Indian consulate in New York said by the time they were informed about the incident and contacted the superstar, Khan said the incident was already over.
"I was taken to a room for questioning. They said my name kept popping up on the computer, " Khan was quoted as saying. Immigration officers wanted to know why Khan was visiting the US. after his name appeared on a computer screen at a counter.
"Khan is a Muslim name, and I think the name is common on their checklist, " the actor said. "I was waiting for my bags. I thought it was nice of them to take me to another room, but that was apparently a second check. I had my papers in order."
"I was really hassled at the airport because of my name being Khan...The couple of hours of interrogation wanting to know if I know anyone in America while all around people were vouching for me from India and Pakistan (sic), " the Bollywood superstar said in a statement.
"Only these guys just would not let me through. Finally they allowed me to make a call, which I did and the Indian Consulate helped me through."
"It was absolutely uncalled for I think, me having just finished working there for more than a month...just a couple of weeks ago. They said I have a common name which is causing the delay...checked my bags...I felt angry and humiliated, " Khan said.
He said after about an hour, he asked the officials if he could make a call. "They said it was not allowed from here but they could make an exception. I called a friend who contacted an Indian embassy official who came and vouched for me, " Khan said.
"I am assuming this country is paranoid with a certain section of religion in the world. This has happened to me before. This is not the first time."
Khan's latest film "My Name is Khan" produced by Khan and director Karan Johar is set against the September 11, 2001 terror attacks and examines their impact on an Indian Muslim living in the US.
The film, shot largely in the US, is near completion and US-based Fox Star Studios has secured the global distribution rights for a deal which industry insiders estimate to be about 20 million dollars.