The history of a Mardi Gras celebration existed many years before Europeans came to the New World. Some time in the Second Century, during mid-February (usually February 15 according to the Julian calendar), Ancient Romans would observe what they called the Lupercalia, a circus-type festival which was, in many respects, quite similar to the present day Mardi Gras. This festival honored the Roman deity, Lupercus, a pastoral God associated with Faunus or the Satyr. Although Lupercus is derived from the Latin Lupus (meaning "wolf"), the original meaning of the word as it applies to Roman religion has become obscured over the passage of time.

When Christianity arrived in Rome, the dignitaries of the early Church decided it would be more prudent to incorporate certain aspects of such rituals into the new faith rather than attempt to abolish them altogether. This granted a Christian interpretation to the ancient custom and the Carnival became a time of abandon and merriment which preceeded the Lenten period (a symbolic Christian pentinence of 40 days commencing on Ash Wednesday and ending at Easter). During this time, there would be feasting which lasted several days and participants would indulge in voluntary madness by donning masks, clothing themselves in the likeness of spectres and generally giving themselves up to Bacchus and Venus. All aspects of pleasure were considered to be allowable during the Carnival celebration and today's modern festivities are thought by some to be more reminiscent of the Roman Saturnalia rather than Lupercalia, or be linked to even earlier Pagan festivals.

The traditional colors of Mardi Gras are purple (symbolic of justice), green (symbolic of faith) and gold (symbolic of power). The accepted story behind the original selection of these colors originates from 1872 when the Grand Duke Alexis Romanoff of Russia visited New Orleans. During his stay, he was given the honor of selecting the official Mardi Gras colors. Thus, did these colors also become the colors of the House of Romanoff.