The Holkar dynasty left Indore a grand monument, Lal Baag Palace. A reflection of their taste, grandeur and lifestyle. It's construction began in 1886 under Tukoji Rao Holkar II, and was carried out in three phases. The final phase was completed in 1921 under Tukoji Rao Holkar III. The scene of many royal receptions, it has a total area of 28 hectares.

At one time Lal Bagh was reputed to possess the nation's best rose garden. It has all the usual over the-top touches like entrance gates that are replicas of those at Buckingam palace, a wooden ballroom floor mounted on springs, marble columns, chandeliers, stained-glass windows and stuffed tigers.