The Hindi film actors spent Wednesday on the set of the untitled project with director Yash Chopra, producer Aditya Chopra, cinematographer Anil Mehta and costume designer Manish Malhotra.
"Getting ready for a new journey...new film...old beautiful team at yrf. Let's see wot roads we travel this time...and where we will reach," Khan posted on Twitter before departing Mumbai.
The production house is said to be shooting at four different locations across London on the first day of the film.
Anushka Sharma, who plays a pivotal role in the love-triangle, is expected to fly in at a later date to start filming her scenes in the YRF production.
Kaif previously spoke to Digital Spy about how much she enjoys being back in the UK.
"It's always nice to get back here. My sisters live up in Whetstone, so whenever I get the time I try to come here and spend time with them," she said.
Yash Chopra's contribution to the Hindi film industry was recognised through an honorary degree from London's School of Oriental and African Studies in July 2010.
The project marks Chopra's return to directing following an eight-year hiatus after Veer Zara.