"A big thankuuu 2 all my friends who came and made me feel soo special today. Opening baby gifts and looking forward to this new phase in my life," Shilpa tweeted Thursday night.
The actress married London-based businessman Raj Kundra in 2009, and she is due to give birth to her first baby next month.
Shilpa's baby shower, organised by her sister Shamita Shetty and friend and business partner Kiran Bawa, was held at her Juhu residence here Thursday.
"Today was such a special day... my sis Shamita and friends Rupali and Kiran threw the most amazing baby shower for me. So much fun. Thank you guys," she wrote.
Malaika Arora Khan, Amrita Arora, Raveena Tandon, Sameera Reddy, Manyata Dutt and Farah Khan were among those who came to bless the mother-to-be.
Shilpa's mother Sunanda Shetty too was present on the occasion.