The show is an attempt to bring the Bollywood stars closer to their fans.
Malaika was in the city Friday, and shared her excitement with the media.
"Delhi was my first option. I was really excited to come and visit the city. It (The show) is a perfect opportunity to come one-on-one with people who make us what we are," Malaika said.
"Delhi is a dynamic city and has so much to offer. I have been here before, but only for work purpose. Through this show I will get an opportunity to spend an entire day in the city. It's a very overwhelming experience," she added.
The 39-year-old, who recently launched her own clothing line, got some dresses and accessories for her fans, whom she met at the the at a hotel.
"It is a very good opportunity for me to dress up my fans from my own collection. The collection is all about effortless, affordable and chic clothing. It's for every mood," she said.
Malaika also treated fans to some 'lassi', and said, "This is the first time I am making it in a traditional style."
During the shooting of her episodes, Malaika will go shopping for popular local souvenirs and even visit the very popular Dilli Haat.
'Stars In Your City' has previously seen actresses like Huma Qureshi, Richa Chadda, Yami Gautam and Amrita Rao, touring different cities, and meeting their fans.
The episode featuring Malaika will go on air soon, but the date is yet to be finalised.