The national seashore that Biloxi shares a coastline with is mostly out of reach. Its Mississippi district is five barrier islands lying ten to twelve miles offshore, one of which has a seasonal ferry and four of which need your own boat. Davis Bayou is the exception, and it is the reason this page exists: a mainland unit on the far side of Biloxi Bay at Ocean Springs, with a car park, a visitor centre and a path, about twenty minutes from the Biloxi Lighthouse.
It is a quiet place and it does not oversell itself. Live oaks lean over the road in, slash pine stands behind them, and the ground falls away into a brackish bayou that drains into the Mississippi Sound. Short trails and timber boardwalks run out over the water and the marsh edge. There is a campground with hookups back in the trees, a picnic area with pavilions and grills, a boat launch that gets you into the bayou system and out to the Sound, and a fishing pier near the visitor centre.
The William M. Colmer Visitor Center is the practical stop. It carries the exhibits that explain the barrier-island system you cannot get to, has an observation deck over the bayou, and is staffed by rangers who know what the water and the islands are doing this week. If you are trying to work out whether a trip to Ship Island is worth the ferry fare, this is a better source than any website.
Two park rules catch people out. Fishing is from the designated pier only, and you need a Mississippi licence. Swimming is not permitted anywhere in Davis Bayou; this is a bayou with alligators in it, not a swimming beach, and the Park Service is unambiguous about it.
Set aside an hour and a half and treat it as what it is: shade, birds, an unhurried boardwalk and the only free national park land within half an hour of a casino floor.