Sadiq Khan is on a three-day visit to Pakistan as part of the "London is Open" promotional tour.
The mayor, whose family originated in India but moved to Pakistan after partition, described it as an emotional journey, retracing his grandparents' steps.
A reporter was caught on camera today asking London Mayor Sadiq Khan "what does it feel like coming home?" as he spoke to media in Pakistan.
Earlier in the day, the visiting mayor also met Foreign Minister Khawaja Asif.
Sharing images from the trip, he tweeted: "Honour to visit the most sacred place in the world for the Sikh faith - the handsome Golden Temple here in Amritsar, India".
The Mayor was received by Lahore Mayor Colonel (retd) Mubashir and Lahore Commissioner at the border.
Mr Khan later called on Chief Minister Shahbaz Sharif at the latter's Model Town residence and attended a luncheon there.
Plans for the service, which would make it easier those living in areas not served by the Tube, which already runs a Boxing Day service, to visit relatives and enjoy the festive sales were first announced previous year.
Sadiq Khan is now taking part in the first ever trade mission by a London mayor to India and Pakistan.
The chief minister was quoted as saying that Pakistan had achieved great success in its war on terrorism, and would win it by introducing various socio-economic reforms.
Speaking at a dinner reception given by the mayor of Lahore, Mr Khan said he was impressed by the hospitality of the people of Lahore.
Khan was elected the first Muslim Mayor of London and was born in Tooting, south-west London.