The first day is Dhanteras or Dhantryaodashi, falling on the thirteenth day of the Hindu month of Ashwin. This day is of great significance as "Dhan"means wealth. According to mythology, the sixteen year old son of King Hima was doomed to die by a snakebite on the fourth day of his marriage. So, on that day, the anxious wife lit innumerable lamps all over the palace. She also laid out her ornaments and piles of gold and silver coins at the entrance of her husband's boudoir. Throughout the night she sang songs and recited stories. When the god of death, Yama, arrived at the palace in the guise of a serpent, he was so bedazzled by the brilliant glitter of the ornaments and coins, that he could not enter the Prince's bedchamber. He sat on the coin heap at the entrance and sat through the dark night listening to the melodious songs of the Prince's wife. At daybreak, Yama quietly went away. In this way the wife saved the life of her husband and since then this day of Dhanteras (also known as Yamadeepdaan) is celebrated by burning lamps throughout the night.

The second day is called Narka-Chaturdashi or Choti Diwali. This falls on the fourteenth day of Ashwin. The legend of this day is related to King Bali, the king of the nether world. King Bali became so powerful that the gods felt threatened. To curb his powers, Lord Vishnu visited him in the guise of a small boy, and begged for that much land which he could cover with three steps. King Bali, granted him his wish. Lord Vishnu covered the entire heaven with his first step and the earth with his second step. He asked Bali for space to keep his third step. King Bali offered his head. Lord Vishnu put his foot on Bali's head and pushed him down to the underworld. However, Lord Vishnu granted him one day in a year to return to earth and dispel darkness and ignorance by lighting millions of lamps. The lamps are lit to spread the radiance of love, wisdom and humility.

The third day marks the festival of Diwali, also known as Chopada-Puja. This day is devoted to the worship of Lakshmi. It is believed that Lord Krishna discarded his body on this day. Another legend is related to a small boy called Nachiketa who believed that Yama, the god of Death, was as black as the sky on a moonless night (Amavasya). On this day he came face to face with Yama and was amazed at his calm and dignified appearance. Yama then explained that man has to pass through the darkness of death to reach the light of highest wisdom. The most popular lore is that this day commemorates the return of Rama to Ayodhaya after 14 years of exile. This day also marks the beginning of the new year according to the Vikrama calender.

The fourth day, Padwa or VarshaPratipada, marks the coronation of King Vikramaditya. In North, Govardhan Puja is performed on this day. According to the Vishnu Puran, the people of Gokul worshipped Lord Indra and celebrated a festival in his honour at the end of the monsoon season every year. Once, young Krishna stopped the people of Gokul from offering prayers to Lord Indra. This angered Lord Indra so much that he flooded the entire city of Gokul. Krishna saved his people by lifting the Govardhan mountain and holding it as an umbrella.

The final day of this festival is known as Bhai Dooj. This day is celebrated as a symbol of love between brothers and sisters. On this day Yama, the god of death, visited his sister Yami. Yami put the auspicious tilak on his forehead and they exchanged gifts as a token of their love. Yama declared that anybody who receives a tilak from his sister on this day can never be defeated. Since then, sisters put a tilak on their brother's forehead on this day to protect then from all harm.