The Hindustan Times reports that the two stars will meet for an exclusive face-to-face interview at Arjun Rampal's Delhi nightclub Lap on October 30.
Keith Alphonso, business head of UTV Bindass, said: "For the longest time we have felt that Lady GaGa personified the spirit of our channel and her trip to India to perform live during the F1 grand finale gave us an opportunity to fix a one-on-one interaction between the global popstar and Shah Rukh Khan, who is our own global rockstar.
"Her concert is only for a limited audience but for this encounter, which is an initiative of UTV Bindass, we have got her nod for having 25-40 of her young fans on board. This is the only time in India when she will be interacting with a real audience."
Khan reportedly wanted Lady GaGa to record a song for his superhero film RA.One, but they were unable to coordinate their schedules.
Khan previously said that he was inspired by Lady GaGa.
The interview will be aired on UTV Stars and UTV Bindass in November.