The mishap occurred at Ahilyaghat in Maheshwar town near here. The rope was used as a barrier to prevent people from reaching stars and other crew members.
The 77-year-old actor fell after his foot got entangled in the rope as he was about to sit in his car.
His security personnel picked him up as he got up from the spot immediately and walked up to his car.
The 'Sholay' star told reporters that he was fine.
Khargone collector Navneet Kothari told PTI that Dharmendra suffered no injuries and left for Mumbai.