It is around thirty-five miles northwest of Madison, and is on the western edge of the last ice-sheet deposited during the Wisconsin glaciation.

[4] The state park is known for its 500-foot-high (150 m) quartzite bluffs along the 360-acre (150 ha) Devil's Lake, which was created by a glacier depositing terminal moraines that plugged the north and south ends of the gap in the bluffs during the last ice age approximately 12,000 years ago.

The original inhabitants of the area around the lake date back much further than when the European settlers first discovered the land.

By the start of the 20th century, the area had become a popular vacation destination for wealthy families from Chicago and Madison.

[10] At various times the lakeshore hosted water slides, lodges, ferry boat launches and golf courses.

These young men, led by Alonzo W. Pond, built many of the trails, buildings, and benches still in use today.

[12] Loess covers most of the hills and forms the parent material of a brown silt loam soil.

Across the parking lot from the nature center are effigy mounds built in stylized animal shapes, such as a lynx and a sparrow.

Most outcroppings in the region, especially in the Driftless Area, are composed of sandstone or limestone, which are too brittle to climb safely.

Climbers such as the Stettner Brothers, and members of the hard-climbing group "DLFA"[20] have frequented the park extensively.

[21] For climbers, unique names for each major bluff formation is important in finding specific climbs and areas.

The climbing style and protection system at Devil's Lake is known for its difficult, glassy rock and traditional fall-protection methods and anchors.

[22][23] The "East Bluff" refers to the Eastern outcroppings in the park, and includes many sub-areas for climbers, including "Doorway Mass" which are climbs surrounding the famous Devil's Doorway formation, "Balanced Rock Wall" near the famous Balanced rock, and an area off of the CCC trail known as the "East Ramparts" which is the most popular due to the high concentration of sheer, unbroken cliff faces to climb.

[24] The west side of the park features climbing areas such as "Stettner Rocks", The Cleo Amphitheatre, and the "Lost Face".

The Cleo Amphitheatre features the classic climb of a 25 ft freestanding spire known as "Cleopatra's Needle"[21][25] Wildlife abounds at Devil's Lake State Park.