Gyanendra, 66, will travel to Jaipur with his family, after a brief stay in Delhi, to attend the marriage ceremony of one of their relatives, the Telegraph Nepal reported.
Gyanendra's visit to Jaipur comes soon after BJP's victory in state assembly polls in Rajasthan.
Gyanendra stepped down as Nepal's ruler in 2008.
The new Chief Minister, Vasundhara Raje, shares family ties with the former Nepal royals and is closely related to Pashupati Rana, the chief of the pro-monarchy Rastriya Prajatantra Party, the report said.
Gyanendra stepped down as Nepal's ruler in 2008 but has remained a critical player in Nepali politics.
After monarchy was abolished in Nepal, he shifted to the outskirts of Kathmandu Valley with his wife Komal. His son Paras lives in Bangkok and has snapped ties with his parents.