Cairo, Illinois. Cairo (generally pronounced /ˈkɛroʊ/ CARE-o by natives, and /ˈkeɪroʊ/ KAY-ro by others) is the southernmost city in the U.S. state of Illinois, and is the county seat of Alexander County. Cairo is located at the confluence of the Mississippi and Ohio Rivers. The rivers converge at Fort Defiance, a Civil War camp that was built in 1862 by Union General Ulysses S. Grant. Cairo has the lowest elevation of any location in Illinois and is the only Illinois city surrounded by levees.