Immensely popular and honoured with the traditional Malaysian title Datuk, akin to knighthood, Khan arrived here Sunday morning along with co-star Priyanka Chopra.
"The `king' of Bollywood is in Malaysia to film the sequel to his 2006 blockbuster hit 'Don', " The Star announced Monday.
He flew in from Mumbai after a gruelling 58 hours of working on a set.
"Datuk Shah Rukh Khan lived up to his tough guy image by proceeding to Malacca state to continue filming, " the newspaper said.
Besides Priyanka, a former Miss World, a 60-member crew accompanied Khan to Malacca.
"The Indian icon looked relaxed and up to the task of filming `Don 2', a highly-anticipated action thriller."
His arrival created a stir at the airport as passengers rushed to catch a glimpse of the actors.
"Despite their hectic schedule, the duo did not disappoint when their fans asked to take photographs."
"Don 2" will continue to portray Khan as Don, an undercover police officer masquerading as the leader of an international gang of drug smugglers.
Priyanka will play his love interest, Roma.
The sequel will promote Malaysia, just as the initial blockbuster did.
Local sensation Ady Putra, known for his bad boy roles in hit Malay movies like "Anak Halal" and "Histeria", will also star alongside Khan, with shooting to be done at Sungai Udang.
Khan's close friend of 16 years, Lorna Enan Muloon, said the Indian actor had set the trend for Bollywood to have Malaysia, especially Malacca, as a preferred location for filming.
"The state has a special place in his heart, " she said.
"Don 2" will also be filmed in Kuala Lumpur, the national capital and Langkawi, a popular island resort.
Khan will be in the country for about a month.