Explanation:

- The Bagh Caves are a group of Buddhist rock-cut caves famous for their mural paintings.

- They are located in Madhya Pradesh, India.

- These caves are named after the nearby Bagh town, on the banks of the Baghani river.

- The artwork within these caves is among the remarkable examples of ancient Indian painting.

Let's look into the options:

1. Sikkim: Known for its monasteries and beautiful landscapes, but not for Bagh Caves.

2. Madhya Pradesh: Known for housing the Bagh Caves; your Answer is correct here.

3. Odisha: Famous for the Konark Sun Temple and Jagannath Temple, not Bagh Caves.

4. Himachal Pradesh: Known for its mountains and temples, but not for Bagh Caves.