Accompanied by their respective family members, a Turkish Airlines flight TK-720 landed here around 5.30 a.m., said Mumbai BJP MP Kirit Somaiya who was present at Chhatrapati Shivaji Maharaj International Airport to receive the bodies.
Shah's body was then taken to her home town Vadodara by a Jet Airways flight for the last rites later on Wednesday.
Soon after landing, Rizvi's body was taken to his home in Bandra west for the funeral in the afternoon, Somaiya said.
The two were among 15 foreigners massacred when a lone gunman opened fire at the elite Reina nightclub where hundreds of people gathered to celebrate the new year.
A many as 69 persons were injured in the attack claimed by the Islamic State militant group.
External Affairs Minister Sushma Swaraj broke the news of the Indian victims in a tweet on Sunday.