The 49-year-old actor will be seen sharing screen with Pakistani actress Mahira Khan.
"First day on 'Raees'. Hot but heartening. And KKR starts its match. Go boys. Cheering you from the sets," Shah Rukh posted on twitter.
In "Raees", which will release on Eid next year, Shah Rukh will be seen in the role of a gangster based in Gujarat. Nawazuddin Siddiqui also stars in the action thriller.