In the last decade, complex engineering systems have been made automatic, smart, and intelligent by adding computation, communication, and monitoring into systems such as Grid systems, Surveillance systems, Health infrastructure, and Vehicular traffic systems. Systems with computation, communication, and monitoring in the feedback loop are called Cyber-Physical Systems (CPS). Smart Grid System is one of the applications of CPS. Smart Grid (SG) produces a service to adjust power production, manage power distribution, monitor power consumption, and supervise consumer behavior. With the increase in openness of the smart grid, large amounts of power entities have to communicate with each other via different modes like wired, wireless, and satellites. The major challenge of the SG environment is Cyber threats to messages transmitted, information to be controlled, and privacy breaches of the consumer that cause severe consequences in the real world. An authentication protocol is a key solution to these cyber threats. Mutual authentication between different entities sates up safe communication. There are various authentication schemes designed previously in the literature but all of them are either computationally inefficient or enabled to be known to security attacks. In this manuscript, we have designed an improved authentication protocol for the SG environment that is powerful against all the security features. This also lends a session key establishment phase for secure communication and substantially lesser computation and communication overhead.