There is one Mardi Gras tradition, however, that I am totally down for – the delicious King Cake! Why King Cake Is Tied To Mardi Gras SeasonThe King Cake is more than just a colorful, sprinkle-covered pastry – there’s a lot of history baked into that oval-shaped treat (along with the baby). This iconic Mardi Gras cake traces its roots back to the Feast of the Epiphany on January 6, also known as Twelfth Night. Whoever gets the baby is on the hook for bringing the next King Cake to keep the party going. Where To Order King Cake In EvansvilleIf you’re looking to grab a King Cake locally, you’re in luck.