Nbfc registration

Yes, you need to register yourself with RBI in first place.

Afterwards, you can go like this - 

For BSE - With BSE 
For NSE - With NSE
For Foreign Exchange - With RBI
For Mutual Funds - With SEBI as well as with AMFI India 
For Insurance Products - With IRDA of Hyderabad 
For Demat - With CSDL as well with NSDL ( Both Mumbai ) 
For Investment Banking - With RBI as well as SEBI ( Both Mumbai )