The incident was captured on camera and the footage was beamed by local media.
The video shows a person firing at least three rounds in air from his double-barrel gun in the procession, comprising at least 300 people and leaders of Swaminarayan sect, while another man riding a horse can be seen loading his revolver and firing one round in air amid cheering of crowd.
Nobody was injured in the incident.
However, Kutch (West) SP D N Patel has ordered a probe into the incident.
"I have learnt about this incident from media. Right now, I am at Gandhinagar for a meeting, but I have already ordered my subordinates to conduct a probe and find out those who were involved in this act. We will take appropriate action after collecting evidence," he said.
Office-bearers of the Swaminarayan sect could not be contacted for comment.