The Coastal Mississippi Mardi Gras Museum is located at 792-A Howard Ave. 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.