The Kumbh Mela began in Nasik on Wednesday amid tight security, two days after a bomb explosion in nearby Mumbai.
About 18,000 security officials stood guard as hundreds of holy men marched through Nasik.
Authorities said they were taking no chances after Monday night's blast that killed two people, injured 47 and left a local bus mangled.
Helicopters circled the air and pilgrims were frisked as a row of decorated elephants followed a throng of drum-beating devotees on the first day of a festival that is expected to attract some 10 million people over the next two weeks.
"We have thoroughly surveyed the area," Madhav Tambade, a senior police official, told Reuters. "Our effort is to see that no untoward incident takes place."
Security is particularly tight because of a series of bomb explosions in Bombay in December and March, in which 14 people were killed. In May, some 250 crude bombs were found in a dry well on the outskirts of the city.
Police said the bomb attacks were masterminded by small outfits trained by the Lashkar-e-Taiba, an outlawed Pakistan-based militant group, fighting Indian rule in Kashmir.
The Kumbh rotates among four holy sites every two to three years and this year is in the twin temple towns of Nasik and Trimbakeshwar, nearly 200 km (125 miles) from Bombay.
Indians believe Nasik was one among four holy places where a few drops of the nectar of immortality fell from a vessel when gods and demons fought over the pitcher.
The most auspicious day of the year-long event is August 17 when millions are expected to take a holy dip in the river Godavari to wash away their sins during the "Shahi Snan" or Royal Bath.
The biggest Kumbh Mela was held in the northern city of Allahabad two years ago when almost 100 million pilgrims bathed in the holy Ganges during the six-week festival.