The actor-turned-producer aired the first episode of the reality show this week, which centres on the everyday lives of people across India.
DNA India reports that the radio show Dil Pe Lagi Aur Baat Bani will feature different true stories based on one theme every week.
Khan, whose directorial debut Lagaan was nominated for an Oscar, will also be hosting the show himself.
It was revealed this week that Khan got over 100,000 calls from viewers during a phone-in on his television debut.
He said that the show aims to tackle the issues everyone is talking about in the country, including controversial ones like foeticide and political corruption.
Ahead of the broadcast, the veteran star said that the show gives him a chance to connect with "common people".