Wearing a flowing pink sari, the Bollywood actress, 31, was the sixth out of 11 contestants to enter the Big Brother house.
"Being a celebrity is really tough," she said in a pre-recorded clip.
Correspondents say her appearance in the show is bound to be controversial in India where many would question its standards of morality.
The programme makers say that they hope she will nevertheless appeal to more than two million Asians living in the UK.
'Candlelit dinner'
As Shetty joined her new housemates she admitted she had not watched the show.
Dirk Benedict said he expected to hate being on the show
"I just want every Indian to be extremely proud that I'm in here."
Observers say Shetty - who has appeared in more than 30 Hindi films - has been included in the show "to spice things up".
The film icon will reportedly have a dinner date with another housemate, in which she will be encouraged to flirt.
Housemates on the reality show - including former Miss Great Britain Danielle Lloyd - will be given the opportunity to pair up for dinner with the person they find most attractive.
"They will be fitted with special heart-rate monitors and must seduce, flirt and do whatever it takes to get their partners' pulse rates soaring," the British Sun newspaper reported ahead of the show.
It said that the courtship will be "performed" at a candlelit table for two minutes while fellow housemates look on.
The couple with the highest readings win the task.
Romance
Reports say Ms Shetty - often the subject of marriage speculation - will dine at a later stage in the show with the housemate she finds the most attractive.
Indian media coverage has focused on romance in Shilpa Shetty's life.
But sources close to the actress are quoted as saying that such a development is not imminent.
"I shall marry but after three years. There is no-one in my life as of today. And, I am very happy living single, at present," she told one newspaper in the run-up to the show.
Other contestants include Michael Jackson's brother Jermaine, A-Team star Dirk Benedict and film director Ken Russell.
Each celebrity will nominate a charity and the money raised during the voting process will be split equally between the organisations.
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