Mr Jaitley, who is in Moscow to attend an international security conference, called the talks "very fruitful".
"We have future plans to set up manufacturing units in India and these are subjects of discussion which came up in my bilateral meeting with the Defence Minister and I am sure with the level of engagement we have, this relationship will continue to grow," Mr Jaitley told the media.
Russia has been India's largest supplier of military systems and a number of co-development projects were being finalised by both the countries.
Earlier this month, Russian President Vladimir Putin had given the go ahead for setting up an Indo-Russian joint venture for production of 200 Kamov military helicopters for India under a $1 billion deal.
The issue is understood to have figured in the meeting between Mr Jaitley and Mr Shoigu. Later this year, Indian and Russian armed forces will hold the INDRA tri-services joint military exercises in Russia.
"This would be a historic occasion as it will be the first time that India and Russia are taking part in joint exercises in such a format with each other or with any other country," said Mr Jaitley while addressing the security conference.
"We will shortly negotiate a new armed forces training agreement," he said.
He said the Indo-Russia relationship goes far beyond just the ties between the governments.
"Russia has been a true and trusted friend of India, which is regarded so by the people of India and there has been a much greater cooperation at the level of defence.
"It is a cooperation which extends to Joint Military exercises, training cooperation and also with regard to supply of equipment which India purchases from Russia," Mr Jaitley said.
Mr Jaitley also met Brazilian Defence Minister Paul Belens Jungman Pinto and discussed issues relating to defence and security cooperation between the two countries.