
In October 1728, Bajirao and his troops then launched an attack on Malwa. His contingent consisted of his brother Chimaji Appa, Tanoji Shinde,Malharrao Holkar and Udaji Pawar, all of whom were destined to great heights in the near future. The Marathas subdued the Mughal forces and captured Malwa.

Extremely gratified towards Bajirao, Raja Chatrasal declared the Peshwa to be his adopted son, and even accorded him a personal jagir which included Sagar,Banda and Jhansi. Chatrasal also gifted Bajirao his beautiful daughter Mastani from his Persian Muslim concubine. Mastani later bore Bajirao a son who was named Shamsher Bahadur. The love story between Bajirao and Mastani is regarded as a tragedy, as this alliance didn’t go well with Bajiraos orthodox family and orthodox Pune Bramhins. They refused to conduct the thread ceremony of Shamsher Bahadur (Krishnarao) as he was born from a Muslim woman. What irked the orthodox Brahmins even more was the fact that Bajirao inspite of being a Chitpavan Brahmin, disregarded the principles of Brahmanism. On his expeditions, he openly consumed meat and alcohol. Shamsher Bahadur died fighting for the Marathas in the third battle of Panipat. His son Ali Bahadur later got charge of Bajiraos jagir in Bundelkhand. He also formed the state of Banda in present day Uttar Pradesh.

By 1735, the marathas had virtually gained control over entire Gujrat and Malwa. The Mughal emperor Muhammad Shah was delaying over passing an official order chartering chauth and sardeshmukhi rights to the Marathas. The Peshwa then decided to teach a lesson to the Mughal emperor. He declared war on the Mughals on Dec 1736. He personally marched towards Delhi with a large Maratha army. He divided the army into two. One contingent was led by Peshwa Bajirao and other by Pilaji Jadhav and Malharrao Holkar. The contingent of Holkar was however defeated by Sadat Khan. Malharrao Holkar himself managed to escape and reach the other contingent led by Bajirao. Meanwhile, thinking that the Maratha threat was over, Sadat Khan sent the good news to Delhi. To join in the celebrations of his perceived success, the other Mughal commanders also joined in, leaving Delhi virtually unguarded. That was when the contingent of Bajirao in a swift movement completely bypassed the Mughal army and reached the outskirts of Delhi, covering a ten day journey in just Forty eight hours.