The 36-year-old star, who launched her movie production house - Essential Sports and Media - last year with businessman husband Raj Kundra, is said be enjoying her new role as a producer.
Speaking on Twitter, Shetty said: "Happy Makar Sankranti tweetos... It's an auspicious day so we did the first mahurat shot of Dishkiyaaoon today.
"Our first home production, need all your best wishes and prayers, it's my first day 'behind' the camera."
Shetty, who is pregnant with her first child, previously stated that The Desire could be her last acting role.