Saif joined the crew and the shooting is underway at Kangdoori in the periphey of the resort, 55 kms from here, officials said.
The film will be shot in the Valley for five days but it was not clear whether Katrina is joining the shoot.
While rest of the crew led by director of the movie Kabir Khan arrived in the valley last week, Saif joined them in Gulmarg today, the officials said.
The film began shooting in October 2013 in Beirut, Lebanon and during the shoot in Lebanon, the cast and crew were provided security due to the political instability in the country.
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Saif, who plays the lead role, will be seen speaking lines in Kurdish, which the actor reportedly learned specially for his role. The movie is about post 26/11 attacks in Mumbai and global terrorism, where Saif Ali Khan and Katrina Kaif play the role of secret agents.
Once shunned due to eruption of militancy, Kashmir has again come up on the radar of bollywood over the past few year after the situation started improving.
Last year, a number of Bollywood producers came to the Valley for shooting movies. The much-talked about Vishal Bhardwaj's adaption of Shakespeare's play Hamlet was also shot here. The film, tilted 'Haider' held an extensive shooting schedule in valley.