Shri Nathji also occasionally visited the Khan Market in South Delhi. There was Shri Nathji’s devotee, Shri Ram Lubhaya, who was a proprietor of the famous bookshop in Khan Market.
Established in 1951, and named in honour of Khan Abdul Ghaffar Khan (popularly khown as Frontier Gandhi or Badshah Khan) has been ranked as the costliest retail location in India. In 2010, it was rated as the world's 21st most expensive retail high street by real estate firm Cushman & Wakefield and is consistently ranked as one of the costliest high end streets. This the U-shaped, double-storey market complex originally had 154 shops and 74 flats on the first floor for shopkeepers, Many of these shops were allocated as seed land to immigrants from the North-West Frontier Province after the partition of India, Khan Market is named in honor of Khan Abdul Ghaffar Khan (1890–1988), a Pashtun political and spiritual leader whose memory is deeply respected throughout India.
Until the 1980s, all the flats on the first floor continued to serve as homes, and neighbourhood grocery stores and middle-class shops existed in the middle lane, despite the fact it catered most up to upmarket Golf Links, Sundar Nagar, and diplomatic crowd from Chanakyapuri. However gradually the real estate boom and expanding families of first generation of occupants forced many families to moved out. Thus these homes were sold and started getting converted into shops. By the 2010s, only a few families were still living in these two room flats.
Today it has grown to become one of the most expensive commercial real estate locations in the city. It has a wide variety of stores, including modern showrooms of most of well-known brands, like Nike, Reebok, Tommy Hilfiger Benetton, Goodearth and others. Silver Jewellery stores Amrapali, Safeera, Silverline etc., Delicatessens, bookstores, paints and hardware stores, electronics, kitchenware, and fabric stores mingle with some of the better restaurants in the city. Some of the stores and eating joints include FabIndia, Raj stores, Anokhi, Sanjiv Mehra's Allied Stores, Cooptex, Gift Palace (for toys, games and theme parties), Aamayo, Route 04, The Kitchen, Market Cafe, Cafe Turtle, Albake, Big Chill Cafe, Cafe Zaffiro, Barista, McDonalds, Subway, Kriti Creations, and a general store, National Cloth House and Khadi Gramodyog. There are also several popular bookstores in the market which offer a unique selection of books in the heart of Delhi. The market remains closed on Sundays.
It is located almost at the heart of the city, close to India Gate. Surrounded by residential complexes – both government owned and private, including Golf Links, Lodhi Estate, Shahjahan Road, Pandara Road, Rabindra Nagar and Sujan Singh Park. Its environs are home to a significant number of bureaucrats from the central government, and famous people like the satiric author Khushwant Singh. It is one of the greenest pockets of the city, very close to the famed Lodhi Gardens. Also in proximity are the India International Centre, the India Habitat Centre, offices of the World Wide Fund for Nature, and other organizations.