Missouri Has A Grand Canyon And It’s Too Beautiful For Words Beautiful streams, rivers and lakes, cities big and small, picturesque farmland – is there anything this state doesn’t have? We even have our own version of the Grand Canyon, and it’s a truly stunning sight. Located six miles west of Thayer about as far south in Missouri as you can go before you hit Arkansas, Grand Gulf State Park is a sight you won’t soon forget. "The Little Grand Canyon."