The day is celebrated as the birthday of the Sun God.
The devotees waited at the beach for the sun to appear in the sky before taking the dip, after which they offered prayers.
According to mythology, Lord Krishna's son Samba was cured of leprosy by offering prayer to the Sun God at Chandrabhaga beach. The devotees take a holy dip on the seventh day of the new moon of the month of 'Magha' in the belief that this ritual will cleanse them of their sins and rid them of skin diseases.
The opposition parties have called the bandh to protest against the alleged suicide by a teenager who had claimed that she had been raped by four men in uniform on October 10 at Kunduli in Maoist-affected Koraput district.
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They said the teenager had taken the drastic step as she felt she had been denied justice.
The Human Rights Protection Cell of Odisha police had in its report to the Odisha Human Rights Commission claimed that the girl was not raped.
The state government had ordered a crime branch probe and judicial inquiry into the alleged rape.
On the occasion of Magha Saptami, a 'Kumbha Mela' was also organised at Khandagiri hills in the state capital.
A large number of monks and and followers of various Hindu religious sects from across the country have assembled here for a week-long religious and cultural event.