Peshwa Bajirao begins with the story of Peshwa Balaji Vishwanath Bhatt and his wife Radhabai. Balaji Vishwanath informs Radhabai that soon they would be blessed with a child who would become a great King in the future. The couple move out of their house in Chiplun when Mughal soldiers attack their village. Tararani Saheb is the queen of Chhatrapati Rajaram Bhonsle. On Rajaram's death, his widow Tararani proclaims her infant son, Shivaji as Rajaram's successor and herself as the regent.
Dhanaji requests Balaji Vishwanath to secretly meet Shahu who is held captive by the Mughals. Radhabai allows Balaji Vishwanath to go to the mission to rescue Shahu. Balaji Vishwanath secretly intrudes into Shahu's tent. He learns that Shahu is not keeping well. On the other hand, Radhabai delivers a baby boy. Aurangzeb's army captures Balaji Vishwanath and throws him off a cliff.
Balaji Vishwanath's relatives pronounce him dead. However, Radhabai refuses to declare herself as a widow. Balaji Vishwanath shows up and clears the confusion. Later, he informs Radhabai that he was rescued after thrown off the cliff. Balaji and Radhabai name their child as Bajirao. A spiritual guru predicts Bajirao's early death.
Bajirao flips a coin which lands in the water. Radhabai rushes towards a waterfall to stop Bajirao. She gets shocked to see Bajirao jumping off the waterfall. When Bajirao steps out of the water, Radhabai grabs Bajirao by the ear and drags him to the house. She instructs Bajirao to not take unnecessary risks.
Bajirao plans to steal mangoes from Govindsheth's garden. Bajirao's teacher comes to his house and meets Radhabai. He tells Radhabai that Bajirao is not serious about his studies. Bajirao and his friends cleverly steal the mangoes from the garden and return home. Radhabai teaches a 'sloka' to them. Later, she promises them to offer mango-juice if they recite the same 'sloka' before her. "
Bajirao's teacher punishes him for remaining absent from the school on the earlier day. Bajirao and his friends rush towards a river. Balaji Vishwanath plans to meet Kamruddin. Mughal soldiers stop Bajirao from going towards the river. Kamruddin's son Nasir challenges Bajirao and his friends to play tug-of-war with an elephant.
Bajirao and his friends play tug-of-war with Nasir's elephant. Nasir uses a prod to provoke the elephant. Finally, Nasir asks Bajirao to accept the defeat. Bajirao replies Nasir that he would soon teach him a lesson. On the other hand, Balaji Vishwanath taunts Kamruddin, that he would be honoured to lift his shoes with his bare hands.
Radhabai suggests Balaji Vishwanath to lure Kamruddin into a trap. Bajirao tells his mother that he wishes to own a horse. Balaji Vishwanath tells Kamruddin that Shivaraje has gone to a jungle for hunting. Kamruddin replies Balaji Vishwanath that he wishes to meet Shivaraje. Bajirao and his friends plan to buy a horse.
Bajirao jumps on the horse who has gone berserk in the heavy rain. However, he fails to control the horse. On the other hand, Kamruddin enters the jungle along with Balaji Vishwanath in search of Shivaraje. Balaji Vishwanath saves Kamruddin from falling off a cliff. Bajirao manages to control the horse and brings it to his house.
Radhabai instructs Bajirao to not fight against Nasir at any cost. Balu meets Nasir and requests him to take revenge against Bajirao. Nasir comes to a market and stands before Bajirao. He orders Bajirao to lick his shoes. Tararani gets shocked to see Shivaraje walking along with Kamruddin.
Bajirao kneels down before Nasir and pulls his pyjamas down. Nasir angrily swings his whip towards Bajirao. Tararani asks Balaji Vishwanath to take revenge against Kamruddin. She warns him of his possible dismissal from her council if he fails to perform his duty. Kamruddin advises Balaji Vishwanath to not follow Tararani's orders.
Balaji Vishwanath tells Kamruddin Tararani would give him 'Dakhan' territory if he returns Shahu to her. He advises Kamruddin to convince Aurangzeb to release Shahu from his captivity. On the other hand, Balu meets Bajirao and his friend and apologizes to them for his past mistakes.
Bajirao and Nasir stand before each other for a challenge. Bajirao sits on his horse Malhari while Nasir rides on his elephant. On the other hand, a fakir meets Aurangzeb’s son Kam Bakhsh. He informs Kam Bakhsh that Kamruddin is planning to capture ‘Dakhan' territory by releasing Shahu from Aurangzeb’s captivity. Nasir plans to obstruct Bajirao’s path as Bajirao brings back the flag on his horse.
Nasir blames his elephant for his defeat against Bajirao. Bajirao warns Nasir of possible repercussions, if he harms his own elephant. Kam Baksh meets Aurangzeb and tells him that Kamruddin wants to seize ‘Dakhan’ territory by returning Shahu to Tararani. Balaji Vishwanath informs Dhanaji that he has ignited rivalry between Kamruddin and Kam Baksh.
Kamruddin instructs his son Nasir to kill Bajirao. Tararani orders Balaji Vishwanath to conquer the fort of Bhairavgadh. Pihu and her friends arrange wedding of her doll. Nasir meets Bajirao in the market. He tells Bajirao that he has kidnapped his sister Pihu. Nasir calls Bajirao on a mountain to rescue his sister.