And even after Shane moved on from the Rajasthan Royals, they've stayed in touch.
With Shane and girlfriend Elizabeth Hurley now in India, Shilpa and Raj threw a party in their honour.
"It is not exactly a party but a very intimate get-together," said Shilpa.
"Members of our family and friends are going to be present. Shane and Liz are coming to Mumbai after a long time."
Here's a look at guests who turned up.
In picture: Shane Warne and Elizabeth Hurley
Text and images: Sify.com