Rai Ka Bag Palace is located close to the Rai Ka Bag Railway Station. It was built by Hadiji, the queen of Jaswant Singh-I, in the year 1663. This octagonal bungalow was one of the favourite palaces of King Jaswant Singh-II. The public ground of the palace was used to host the audience during the visit of Swami Dayanand Saraswati to Jodhpur in the year 1883. According to a belief, the King used to listen to this saint in this palace only. Presently, this palace houses the income-tax office of Jodhpur.