Shegaon, a municipal town in Khamgaon Tehsil is famous for the Samadhi of Shri Gajanan Maharaj a mystic saint as popular as Saibaba of Shirdi. You'll see a large number of pilgrims here, some coming from distant parts of Western Maharashtra, Vidarbha. Allegorically, Shegaon can be described as the Pandharpur of Vidarbha. Thousands of devotees pay their respects at the Samadhi every Thursday, which is regarded as a special day.