While most of America only recognizes Shrove Tuesday, or Mardi Gras, celebrations of Carnival have been going on since Epiphany (January 6) in many parts of the world. That includes the traditional king cake, once called three kings cake for the Magi that visited baby Jesus on Epiphany. The cake itself was repurposed from a Roman Saturnalia tradition. The most common (and easiest) way to make a king cake in America is to make cinnamon rolls, but instead of cutting the roll, you twist it into a ring and bake it, then cover with purple, green, and gold sugar or icing. You might also put a small plastic baby inside the dough. But other countries have different traditional recipes.
France has cakes called galette and gâteau des rois, Portugal enjoys bolo-rei, Mexico has rosca de reyes, and Germany indulges in dreikönigskuchen, among other versions of king cake. They use different recipes, but they all have some things in common- they are either circular or decorated to represent a crown, and most of them have a surprise hidden inside. Read about the traditional king cakes of the world at Atlas Obscura.
Anytime I've have king cake, I've made it myself. I learned the cinnamon roll technique when I worked in a bakery for a short time.