Lake Pepin is a naturally occurring lake on the Mississippi River on the border between the U.S. states of Minnesota and Wisconsin. It is located in a valley carved by the outflow of an enormous glacial lake at the end of the last Ice Age. The lake formed when the Mississippi, a successor to the glacial river, was partially dammed by a delta from a tributary stream …Lake Pepin is a naturally occurring lake on the Mississippi River on the border between the U.S. states of Minnesota and Wisconsin. It is located in a valley carved by the outflow of an enormous glacial lake at the end of the last Ice Age. The lake formed when the Mississippi, a successor to the glacial river, was partially dammed by a delta from a tributary stream and spread out across the ancient valley.