The mayor was received by officials from the Punjab government upon his arrival and is now holding a meeting with Chief Minister Shahbaz Sharif in Model Town.
Mr Khan's Muslim parents were both born in India and then lived in Pakistan before emigrating to Britain in 1968. He arrived in Lahore on Wedesday from Wagah border and met with Punjab Chief Minister Shahbaz Sharif.
Earlier, Khan held meetings with business leaders and Indian government ministers as a part of his visit to Mumbai, Delhi and Amritsar in India.
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 past year.
PM Abbasi said Pakistan gives great importance to its close and cooperative relations with the United Kingdom especially in trade and investment.
PM Abbasi welcomed him and said that every Pakistani is proud of his election as Mayor of London and prays for his success.
Sadiq Khan is now taking part in the first ever trade mission by a London mayor to India and Pakistan. He was happy to note that Pakistan and its society were progressing. "It is the heart of Pakistan and is certainly the hub of Pakistani culture", Khan is quoted to have said.
Lahore's mayor thanked Mr Khan for visiting and shared that he wished to strengthen social and cultural ties with London.