This paper presents a comprehensive set of stylised facts on state government debt markets in India. Based on the analysis of facts, it highlights some challenges pertaining to the debt market for states. Shallow liquidity, absence of risk asymmetry and concentrated borrowings by a few states are some of the challenges in the realm of state market borrowings. The paper proposes some policy reforms to improve the state debt market and the required regulatory framework for a more efficient and functional market for state government securities in India.