The movie is partly inspired by social activist Sampat Pal and the work she and her 'Gulabi Gang' do for women's welfare.
"Had great fun shooting action sequence for 'Gulaab Gang' yesterday. Tiring, but completely challenging and exciting," Madhuri posted on Twitter.
She even said it is currently the most exciting activity for herself.
"What is the most interesting thing in your life that you are doing or planning to do? For me, right now it's this action scene," she added.
The actress will also later be seen in "Dedh Ishqiya", a sequel to 2010's critically acclaimed movie "Ishqiya".