The $200,000 Indian holiday has, according to some reports, been a 'celebration' of their successful adoption of Malawian baby David Banda.
But it has also proved the perfect chance for 48-year-old to hone her horseriding skills.
The singer spent yesterday on a two-hour trek in the desert close to a 19th century fort where the family have been staying.
Sons Rocco and David – who according to social workers studying David's adoption have become best friends – followed their mother with security guards in a silver 4x4.
Riding a thoroughbred Marwari horse – bred by the ancient rulers of Rajasthan and famed for their stamina, bravery and loyalty – Madonna waved to her children before galloping off in a cloud of dust.
The singer has been enjoying a low-key family holiday since arriving in India from the Maldives on a chartered Kingfisher jet on December 31.
She celebrated the new year being entertained in the desert by traditional dancers and folk singers.
"Madonna spent New Year's Eve with her family at a wilderness camp in the desert," said Siddarth Singh, whose family owns the nearby Rohetgarh Fort where they have been staying and helped organize the entertainment.
"Madonna was comfortably dressed in Western clothes for the evening and enjoyed the dance performances along with her family."
The evening included traditional Rajasthani folk music, with performances by Langa, Manganiar and Kalbelia dancers.
"There was a dancing horse show too," added Mr Singh. "Traditional food was served at the party. Madonna had vegetable curries and fish, while her son and husband stuck to vegetables only.
"Later all of them danced with folk artistes into the wee hours. In the morning a special horse show was organized at Khandi, a village near Rohetgarh.
"Madonna and her son enjoyed the horse ride and seemed very comfortable interacting with the local people. No one even realized she was an A-list celebrity."
Madonna has had riding lessons with William Fox-Pitt, who won silver with the Great Britain team at the Athens Olympics in 2004 and has been a regular visitor to their 1,200-acre Ashcombe House estate in Wiltshire.
He helped the singer build up her confidence again after she had a fall while riding on her 47th birthday in 2005, in which she suffered three cracked ribs, a broken collarbone and a fractured hand.