The actor confirmed that he had recently arrived in the remote mountainous region, close to India's northernmost border with China.
"First day breathing is a problem in Ladakh. u can't speak long sentences... actually... u can't. write... long. sentences. either... gasp gasp (sic)," Khan shared with his followers on Twitter.
Khan, who is in the area to work on Yash Chopra's untitled film, also posted about previously shooting there for his 1998 release Dil Se.
"In Ladakh after so many years. Lovely & hectic memories of Dil Se & my friend Santosh Sivan the worlds best cinematographer. Santa miss u," he wrote.
After finding out that Khan would be shooting in the heavily militarised zone, it was reported in some media last week that the actor would play a member of the army, although the star went on to deny that this was the case.
Other Bollywood films, including Tashan and 3 Idiots, have made use of Ladakh as a filming location.
Watch the first teaser trailer for Yash Raj's as-yet-untitled film: