The origins of Mardi Gras can be traced to Medival Europe, though we have no written record of how that really transformed into the current Mardi Gras of today. But the origins of the Mardi Gras we celebrate today -- with Kings, Mardi Gras colors, and brass bands -- are traced to New Orleans.
Mardi Gras (French for "Fat Tuesday") is the day before Ash Wednesday, and is also called "Shrove Tuesday" or "Pancake Day". It is the final day of Carnival. It is a celebration that is held just before the beginning of the Christian liturgical season of Lent.
Visit the official Mardi Gras website for additional information.