Detail about the duration of his stay is not known.
The 50-year-old "Chennai Express" posted a photo of the Red Fort.
"In hometown Delhi. Red Fort... Cool evening... Dancing on the roads like a Fan. Will go & visit parents at night," Shah Rukh tweeted.
The actor has shot in Delhi extensively for his forthcoming film "Fan".
Shah Rukh is awaiting the release of Rohit Shetty's "Dilwale", which hits theatres on December 18.