Rabbi Gavriel Holtzberg, and his wife, Rivka, were among scores killed last month in a rampage by suspected Islamic militants. The couple ran a center in Mumbai for the Orthodox Chabad Lubavitch movement.
Rabbi Nachman Holtzberg and his wife, Frida, were accompanied by Rivka's parents, Yehudit and Shimon Rosenberg, and several friends and relatives at the lighting ceremony.
The slain Holtzbergs, who moved to Mumbai in 2003, used to light a menorah every year outside the Jewish center also known as Nariman House. Thursday is the fifth night of Hanukkah.
The relatives went inside the building, badly damaged by the attackers and the Indian rescue operations that followed, and also visited the room where Gavriel Holtzberg and his wife were killed.
The Holtzbergs and Rosenbergs are also expected to light a menorah at the Gateway of India, a ceremonial archway on Mumbai's seafront, a short distance from the Chabad center.
The Holtzberg's 2-year-old son, Moshe, survived the attack on the building that killed his parents and four others - all Jewish foreigners.
Acting director Rabbi Dov Goldberg has vowed to restore the building and continue their work in Mumbai.
At least 164 people and nine gunmen were killed in the Nov. 26-29 attacks that targeted 10 sites in Mumbai, including two five-star hotels and the Jewish center.