Indiana is bounded on the north by Lake Michigan and the state of Michigan; on the east by Ohio; on the south by Kentucky, with which it shares the Ohio River as a border; and on the west by Illinois. Indiana is one of the Great Lakes states.vansville, the third largest city in Indiana, is located in the southwestern corner of the state. It is located in a tri-state area that includes Illinois, Indiana, and Kentucky. The south-central cities of Clarksville, Jeffersonville, and New Albany are part of the Louisville metropolitan area.