Shegaon is popular as a pilgrimage destination as its believed that Shri Sant Gajanan Maharajlived here. Hindus consider Gajanan Maharaj a saint with miraculous powers. The origins of Shri Sant Gajanan Maharaj are untraceable in history. Shri Sant Gajanan Maharaj took "Samadhi" at Shegaon. Shri Sant Gajanan Maharaj Temple is built on the Samadhi of Gajanan Maharaj. Sant Gajanan Maharaj Sansthan is the largest temple trust in the Vidarbha region and is so called as "Pandharpur of Vidarbha". It attracts pilgrims from all over Maharashtra.