Bajrang Shah has been and is closely associated with adventure sports such as mountaineering, trekking, rock climbing, adventure camping, bungee jumping, paragliding, hang gliding, para jumping, para sailing, white water rafting, scuba diving, snorkeling, sailing, ATV riding in forests, car rallying etc,. to list a few.

He is a founding member of Greater Hyderabad Adventure Club and the Adventure Club of Telangana State. He was pivotal in creating world records in water fall rappelling and scaled one of the most difficult stokkangri and other peaks in Ladkah Himalayas. also supports and fosters strong relations with most of the pioneering and prominent adventure clubs and organizations across the globe.

He is a pioneer of sorts of a few adventure activities and elite sports in Hyderabad. He is not only closely associated with the Hyderabad Polo and Riding Club, but has also organized many polo tournaments and exhibition matches in the city.

He was one of the key players in retaining the tradition of Polo in Hyderabad and also was closely associated with the army in facilitating the Hyderabad Polo Week and the prestigious Prince of Berar Cup for over a decade. Besides being pivotal in organizing the Hyderabad Sailing week year on year.