The match has become important for both the teams as India is leading by 2-0 in the five-match ODI series.
An official of Madhya Pradesh Cricket Association (MPCA) said the Indian and Australian teams reached Ahilyabai Holkar Airport by a special aircraft from Kolkata.
They were taken to a city hotel by buses under tight security, he said.
A large number of cricket lovers were present at the airport to catch a glimpse of the players.
MPCA has also made arrangements of indoor practice in the event of rains.
India is leading by 2-0 after defeating Australia by 50 runs in the ODI played yesterday at Kolkata.