Steep sandstone cliffs within the park were formed when Indiana was covered by ocean hundreds of millions of years ago.

The two parks share similar features including steep ravines, slate and sandstone valleys, and small waterfalls.

An excellent view of it and nearby Sugar Creek can be had from Lover's Leap, a small observation deck built out over the cliff.

It has much lower speed limits than a State highway normally would, due to its narrow width in some places and hairpin turns in others.

Shades is also notable for having a small airfield called Roscoe Turner Flight Strip, where visitors once could land their plane and then visit the park.