Soon after his arrival, the star, whose conviction has been upheld in the 1993 Mumbai blasts case, left along with Kumar and others by road for a darshan at the Devi Peeth in Datia district of Madhya Pradesh.
Although Sanjay's visit was said to be a private one, a number of his admirers gathered at the local air strip to catch a glimpse of him.
He was dressed in a kurta and dhoti.
The actor is likely to return to Mumbai in the evening.
The actor's plane was unable to land in Gwalior or Jhansi as some training was being conducted there and the air strip at Shivpuri was not thought to be safe, official sources said.
The Supreme Court recently upheld the conviction of Dutt under the Arms Act in the 1993 Mumbai serial blasts case and sentenced him to five-year imprisonment. Dutt has already served 18 months in jail and will have to serve remaining three years and six months. He has been given four weeks' time to surrender.