The state Mississippi is almost entirely within the Gulf Coastal Plain, with lowland plains and low hills, and covered by unconsolidated sediments. The rest is the Mississippi Alluvial Plain in the northwest, which is covered by unconsolidated river sediments. All those areas are not suitable for the formation of caves, especially not close to the surface because of the unconsolidated sand and clay. All these lowlands are around sea level, the highest point of the state is Woodall Mountain (246 m asl). In other words there is no significant gradient, the water flows everywhere as sluggishly as the Mississippi at sea. If you use a shovel in your garden, the hole will fill immediately with groundwater. There are neither natural nor artificial underground structures because there is no underground drainage, and it's impossible to find a spot for digging.
Mississippi has approximately 65 solution caves, not much for a whole state. Most of the caves are found along the Vicksburg Group-Forest Hill Formation, a belt of lime-bearing, Oligocene strata. Some more are in the Tennessee River Hills. There are no show caves in Mississippi, and the rare wild caves are protected and closed to the public.
Actually Mississippi and Delaware are the only states in the U.S.A., where we have not listed a single site.