Early in her career, Kheshgi worked as a co-producer of the Peabody-winning film, "The First Year", directed byDavis Guggenheim. She then went on to produce and direct her own films. Kheshgi co-directed the feature documentary Project Kashmir along with Geeta V. Patel. The film takes place in the beautiful, but embattled Kashmir. Kheshgi and Patel navigate the dangers and complexity of a country divided. Kheshgi then co-directed The Diplomat about the East German Olympic ice skaterKatarina Witt with Jennifer Arnold for ESPN Films.