Clinton, who is on a three-day visit to western Madhya Pradesh, took about two hours to go around some of the historical sites in Mandu, located 35 km away from the district headquarters.
Sporting a hat and sunglasses, she came out of Jahaz Mahal, built during the rule of Mandu Sultan Ghiyas-ud-din Khilji, and told reporters that she enjoyed visiting the historical sites.
"Well, today I'm just enjoying the magnificent archaeological site and learning a lot of the Indian history because of this beautiful palace ground. I am very excited about being here and everything that I have seen," she said.
Clinton had lunch prepared by cooks who were brought from the Maheshwar town under a tent.
She also visited other historical buildings in the vicinity, including the Hindola Mahal (swinging palace), Hoshang Shah's Maqbara (mausoleum) and Jama Masjid.
She later left for Maheshwar town in Khargone district, where she will be staying tonight.
Clinton, who was the Democratic Party's candidate for the 2016 US presidential polls, was scheduled to interact with children of a local school in the evening.
Clinton is visiting Maheshwar on an invitation of Richard Holkar, the scion of the erstwhile Holkar kingdom.
Tomorrow morning, she would leave for Indore from where she would fly to Jodhpur.