Upvote:16
The most common practice globally would be for you to go through immigration departure at the last airport before you leave the country. However, Air India has a different procedure for some flights. The full details are here: http://www.airindia.in/Transit-Information.htm
Here are some excerpts relevant to your case. Your "gateway point" is New Delhi.
On a flight that has the number in the range of AI010 – AI399 or AI900 to AI999
At the origin station (Interior Point), you will be issued with two Boarding Passes one for origin to Gateway Point with "I” indicator printed on it and the second from Gateway Point to Final International Destination with "T” indicator printed on it.
Proceed to complete Immigration and Customs Check formalities at the station of origin (interior station) itself.
At the Gateway Point you will arrive at international terminal and you may proceed directly to International Departure gate through Transit area.
On a flight that has the number in the range of AI400 – AI899
At the origin station (Interior Point), you will be issued with two Boarding Passes one for origin to Gateway Point and the second from Gateway Point to Final International Destination.
At the Gateway Point you will arrive at domestic terminal and you may proceed to the international terminal/departure lounge to complete Immigration and Customs Check formalities.