Old Fort Harrod State Park is the town's main historical sight, built around a full-scale reconstruction of the fort associated with James Harrod's 1770s settlement. It is a compact place, but it gives Harrodsburg its reason to be on a Bluegrass itinerary.
The park also includes monuments and small museum pieces tied to frontier Kentucky. It is most rewarding if you treat it as context for the wider region rather than as a large museum complex.