at/in city [when country follows city ]

I live in Mumbai, India. no need to put other words between country and city.

as for me,i think,it should be "i live at mumbai in India" reason being that,Mumbai is in India,so "at" Mumbai ,and Mumbai is "in" India in as much as we can take that short form but we can also take this other form

'in' is a point in an area.
'at' is a point to another point.
e.g. I live in the city.
e.g. There is a well in the garden.
e.g. Mom is at home.
e.g. Mom is cooking in the kitchen.
e.g. I work at the airport.
e.g. There is a thief in this airport.