The Kaal Bhairav Temple of Ujjain was built by King Bhadrasen, which is also mentioned in the Avanti Khanda of Skanda Purana. In this temple, idols of Lord Shiva, Mother Parvati, Lord Vishnu, and Ganesha from the Parmar era (9th to 13th century) have been discovered. During Raja Bhoj's reign, this temple was also rebuilt at the same time.

It is popularly believed that King Mahakal of Ujjain appointed Kalabhairav to protect the city. For this reason, Kalbhairav is also called Kotwal of the city. In this temple of Bhairav Baba, alcohol is offered to him, but where the alcohol goes, this mystery has remained a mystery today. Thousands of devotees reach here every day to see this idol of Kalabhairav drinking alcohol. In this temple, the idol of Lord Kalabhairav is seen wearing a Scindia turban. This turban comes from the Scindia family of Gwalior for Baba Bhairavnath. This practice has been going on for hundreds of years.

The Kaal Bhairav Temple of Ujjain is built according to the Maratha architectural style, the remains of magnificent paintings made in the Malwa style are still visible in the walls of the temple. At the same time, in the sanctum sanctorum of the temple, the idol of Lord Kaal Bhairav is sitting in the form of a rock.

Alcohol is the main prasad offered to this Kalbhairav Baba of Ujjain. Apart from this, devotees also offer Mawa and gram flour laddoos here.