They have a nice Civil War battlefield there, also a museum with an ironclad ship that was raised from the bottom of the Mississippi. They also have river boat casinos. The Natchez Trace goes thru Vicksburg and if you have time its not a bad drive down to Natchez. There are antebellum homes in Vicksburg but many of them in Natchez.
We dont live to far from Mississippi, so sometimes my wife and I will go down to Natchez as a getaway and stay in a Bed and Breakfast.
Hope this helps,
John