The airline is the low cost arm of Air India.
The service was inaugurated by Air India CMD Rajiv Bansal at a function at Terminal 3 of the international airport here, Air India Express said in a release.
The inaugural flight to Madurai, a temple town in Tamil Nadu, had 136 passengers.
"Delhi- Madurai service of Air India Express will be available four times a week on Mondays, Wednesdays, Fridays and Sundays," the release said.
Currently, the budget carrier operates around 557 departures per week, connecting 16 Indian cities to 14 destinations in the Middle East and South East Asia.