Carnival season on the Mississippi coast runs from Twelfth Night in early January to Fat Tuesday, and the end date moves each year because it is fixed to Easter. That is the first thing to check before booking a February trip here, in either direction: you may find a parade, or you may find a fully booked city.
The 1908 claim
Biloxi's first city-sponsored Mardi Gras parade rolled on 3 March 1908, and the queen who led it was titled Ixolib, which is Biloxi spelled backwards. The Gulf Coast Carnival Association dates from that year and the tradition has run since.
The coast's Carnival is not a copy of the one ninety miles west in New Orleans. It is smaller, more local, and considerably easier to take children to. Parades roll in Biloxi, Gulfport and Ocean Springs across the season, with balls, king cake and the usual apparatus of a Gulf Coast Carnival around them.
Mobile, an hour east in Alabama, makes an older claim still and will tell you about it at length.
Practical notes
Parade routes, dates and start times are set by the individual krewes and cities and are published each season rather than being fixed year to year. Do not plan around last year's route.
Two things worth knowing if you have not done a Gulf Coast parade before. The throws are thrown, so pay attention rather than looking at your phone, and do not reach under a moving float for anything. And parking along the beach road on a parade evening fills early and empties slowly, so arrive well before the roll and expect to wait afterwards.
Accommodation over the final weekend and Fat Tuesday itself books up, and rates rise accordingly. Outside those few days, February is one of the quieter and cheaper months on this coast.