According to Geo TV, Veena entered Pakistan through the Wagha border in Punjab on Friday.
The report said she was clad in burqa (veil) and her passport has her real name Zahida.
A source said Indian actor Ashmit Patel accompanied her to the border.
After she walked into Pakistan, some friends picked her up. Most likely she will stay with some friend in Lahore.
Veena went to India for a photo shoot for the fashion magazine on a 45-day visa.
Veena in 2010 testified against her boyfriend, Pakistani bowler Mohammed Asif, alleging he was involved in match fixing.
She became popular after her stint in the fourth season of reality show "Bigg Boss". She was denounced by Islamic clerics for her nude photos in the FHM magazine.
The actress is set to have her ‘swayamvar’ on India’s national television, through Imagine TV.