The 38-year-old Argentine great greeted chanting supporters at a nearly packed Arun Jaitley Stadium, usually home to cricket, with fans dressed in Argentina jerseys waving flags and shouting his name.
"It was beautiful to receive all the love and support. I knew it was there, but to receive it first-hand was, well, amazing," Messi told the crowd, speaking in Spanish, saying he will "definitely be back".
Clad in a pink jersey and black trousers, Messi enthralled the audience with his charm as he kicked footballs into the crowd and obliged star-struck delegates and fans with selfies.
Messi and his fellow stars played football with children before being presented with a T20 World Cup ticket and an Indian jersey by the chairman of the International Cricket Council (ICC) Jay Shah.
India - a nation of 1.4 billion - are a cricket powerhouse, but struggle on the football pitch and are 142nd on the FIFA rankings.
Former India football captain Bhaichung Bhutia took the stage with Messi, who signed Argentinian jerseys for the Indian star and his family.
His final stop in India went smoothly after a chaotic opening day on Saturday, when fans vandalised a stadium in the city of Kolkata, where his brief presence left the crowd frustrated.
Heavy security left fans struggling to catch a glimpse of him. Many had paid more than £75 for tickets, and they broke down barricades and stormed the pitch after the superstar abruptly left the arena.
In New Delhi on Monday, thousands of excited fans dismissed hazardous choking air pollution to see their hero.
"I'm very excited to see Messi, I have been watching him since my childhood," said 29-year-old fan Sumesh Raina.
New Delhi, and its wider sprawling metropolitan region of 30 million residents, is regularly ranked among the world's most polluted capitals, due to a deadly mix of emissions from power plants, heavy traffic, as well as the burning of rubbish and crops.
Levels of cancer-causing PM 2.5 microparticles hit more than 300 micrograms per cubic metre in parts of New Delhi on Monday, according to monitoring organisation IQAir, 20 times the World Health Organization's recommended daily maximum.
A study in The Lancet Planetary Health last year estimated that 3.8 million deaths in India between 2009 and 2019 were linked to air pollution.
Messi, who is in India as part of his so-called GOAT Tour along with his Inter Miami teammates Luis Suarez and Rodrigo de Paul, seemed unperturbed by the toxic air.
He looked in good spirits as he kept up his energy with fans and football enthusiasts in his 35-minute stay at the stadium.
Messi had also visited the cities of Hyderabad and Mumbai, where he met cricket icon Sachin Tendulkar and Indian football star Sunil Chhetri.
The footballer won his second consecutive Major League Soccer Most Valuable Player award last week after propelling Inter Miami to the MLS title and leading the league in goals.
The former Barcelona and Paris Saint-Germain forward will spearhead Argentina's defence of the World Cup in June-July in North America.