The episode featuring Baba Ramdev is likely to go on air in the first few weeks of the much-anticipated show, which will be telecast by Star Plus.
The interview is said to be a laugh riot.
"Sunil Grover first met Baba Ramdev during an interactive session at an event of a Hindi news channel Aaj Tak. They hit it off like a house on fire. Ramdev loved Grover's one-liners. Grover took yoga tips from Ramdev, promising to bring him on his show once it starts," said a source.
For the show, Sunil would be dressed as his new female avatar Chutki while conversing with Baba Ramdev.
One of the episodes will feature Udit Narayan and Mika on the same stage.
"The idea is to bring on guests who are not Bollywood stars. To ensure the profile of Sunil's show is different from Kapil Sharma's show," the source added.
Sunil was earlier part of "Comedy Nights With Kapil" and was loved for his role as Gutthi in the comical entertainer.