Shangri-La is accessed first by the player during a mission for Yogi & Reggie. After the mission is completed, the player will be given the location of four other Thangkas, each one giving access to a Shangri-La mission. Shangri-La missions have their own chronological order and are independent from the location of Thangkas.
In each mission, the player plays as the Kyrati Warrior, Kalinag and is accompanied by a Sky Tiger. Kalinag speaks Hindi throughout the missions, however, if the player turns on subtitles, the speech can be translated into the player's own language. In the first four missions, the player must find Mani Wheels that will unlock a way to a Bell of Enlightenment, that must be freed by the player to kill the Rakshasas. The fifth mission involves a challenging fight against the leader of Rakshasa, a flying bird-like demon, supposedly a corrupted and evil counterpart of Garuda, atop a floating peak, which will free the last Bell of Enlightenment, thus also freeing Shangri-La from the demons.
In the first mission, Kalinag only uses a knife. His loadout improves in the next two levels, the second one providing Kalinag with a bow that can slow down time when aimed; in the third level, the bow is given the ability to fire five arrows at once. In the fourth level, an elephant is ridable, although only during said mission. In all five levels, the Tiger is available.
- The sheer number of hard-hitting demons in almost every combat encounter can make fights in Shangri-La quite challenging even on low difficulty settings. Naturally, the final battle in each chapter is usually the most difficult one, but all of them except for the boss battle in Chapter 5 can be skipped entirely by simply sprinting past the enemies and interacting with the Bell of Enlightenment. This is a viable strategy even on Hard and can be pulled off without too much trouble even if no Seeker amulets have been collected to increase Kalinag's health pool. Collecting amulets beforehand makes it all the more easier, as does running a haphazard zigzag course, which will make almost all the enemies' arrows miss their target. Just beware the Scorchers - being on fire prevents Kalinag from interacting with anything until he has put out the flames on his body.
- All Shangri-La mission except for the first one are optional, but two missions need to be completed in order to unlock the Huntsman skill and, through it, the very useful Breath Control skill of the Tiger tree. Players whose strategies revolve around sniping should strongly consider tackling the first two missions.
- After completing a Shangri-La mission, Ajay will wake up with most of his ammo stripped along with any body armour he may have been wearing. Depending on how many ammo pouch and explosive bag upgrades you have crafted, this could potentially cost you up to 200,000 Rupees in replenishment. Ensure you can afford to replenish anything that is lost before tackling these missions.
- Statues around Shangri-La will sometimes look at the player, hinting the Gods know of Kalinag's presence.