Rai has taken part in several stage shows and world tours since 2001. Her first world tour, a series of concerts called Craze 2001, was performed across the US alongside Anil Kapoor, Aamir Khan, Preity Zinta and Gracy Singh. The show faced early cancellation due to the 11 September 2001 attacks, and the team prepared to return to India as soon as possible. However, the shows continued successfully in Canada.
In 2002, she participated in the show From India With Love in the UK, along with Amitabh Bachchan, Aamir Khan, Shah Rukh Khan and Preity Zinta. It took place at two outdoor venues, Manchester's Old Trafford and London's Hyde Park, with over 100,000 spectators.
Between July to August 2008, Rai, her husband Abhishek Bachchan, her father-in-law Amitabh Bachchan, and actors Preity Zinta, Ritesh Deshmukh and Madhuri Dixit starred in the "Unforgettable World Tour" stage production. The first leg covered the USA, Canada, Trinidad, and London, England. Rai is also involved in the functional and administrative operations of her father-in-law's company, originally known as ABCL, and rechristened as AB Corp. Ltd. That company, along with Wizcraft International Entertainment Pvt. Ltd., developed the Unforgettable production.