Aboli Moharkar, his wife, accompanied his body.
Officials from the Indian Air Force, Army and Maharashtra government placed wreaths on the body which was received with full military honours.
Maharashtra energy minister Chandrashekhar Bawankule was also present at the airport.
Major Moharkar's body will be taken to his native village Pavni in Bhandara district where the last rites will be performed.
Maharashtra Chief Minister Devendra Fadnavis paid tributes to him.
"Our condolences to his family and friends. We are with them in such tough times," the CM said.
Major Moharkar (32), Lance Naik Gurmail Singh (34), Lance Naik Kuldeep Singh (30) and Sepoy Pargat Singh (30) were killed in a cross-border firing by Pakistani troops along the LoC in Keri sector yesterday.