It is, as the name implies, both a carnival and a circus. It exists outside of our plane of existance, but can be accessed by individuals who accidently wander over to one of the portals hidden by Splendor Man in the form of his flyers, which only work for a few days.
It is described as very large and beautiful, but photography is not allowed, because all images of The Circus Carnival (photographic, hand drawn, digital, etc) fade away until they are blank.
The Circus Carnival changes it's attractions and shows based on whoever enters into it. (EX: If someone is afraid of clowns, no clowns will appear.)