Parque Estadual da Serra de Caldas Novas is the best counterweight to the resort city below. The protected area covers the Serra de Caldas ridge between Caldas Novas and Rio Quente, preserving cerrado vegetation, springs, and the recharge zone linked to the region's thermal waters.
The usual visitor routes lead to waterfalls and lookouts rather than deep wilderness. Go early, carry water, and treat it as a hot, exposed cerrado walk with a good view back over the city.