The Coastal Mississippi Mardi Gras Museum is located in historic downtown Biloxi. Step into the irresistible, glamorous story of Mardi Gras as it is celebrated along the Mississippi Coast. The museum features dazzling costumes; exhibits of Carnival mementos, including glass beads, doubloons, krewe favors and crowns and scepters; an informative video and artwork related to this beloved annual celebration.