Khan was taken from the border to the city of Lahore in a heavily armed police convoy, which included an ambulance and fire engine,
He, however, defied the advice of the Foreign Office officials.
"We were advised against going to India and Pakistan on the same trip," Khan said.
The mayor, whose family originated in India but moved to Pakistan after partition, described it as an emotional journey, retracing his grandparents' steps.
His family settled in Karachi in Pakistan, where his paternal grandfather was a civil servant.
Khan is scheduled to travel to Lahore, Islamabad and Karachi during his three-day visit to Pakistan.
He will meet senior politician's as well as key figures from the Pakistan's cultural and financial sectors.
The purpose of the Mayor's visit is to forge closer ties with the Pakistani business community and focus on meeting the young, up-and-coming generation who will play a key role in the ongoing development of the country.
Earlier, Khan held meetings with business leaders and Indian government ministers as a part of his visit to Mumbai, Delhi and Amritsar in India. (ANI)