The Total Siyapaa actor posted a picture of himself from the film's set on micro-blogging site Twitter.
At my set as director. pic.twitter.com/Er9kSieC2k-- Ali Zafar (@AliZafarsays) July 27, 2014
The details of the film have been kept under wraps.
As an actor, Ali will next be seen in Shaad Ali's Kill Dil that also stars Parineeti Chopra, Ranveer Singh and Govinda.
Ali, 34, who was mostly known for his singing prowess back home in Pakistan, began his acting career with the Bollywood movie Tere Bin Laden.