11 November 2015 Last updated at 07:10 GMT
It is also the occasion for celebrations by Jains and Sikhs as well as Hindus.
The word Diwali comes from the Sanskrit word dipavali, meaning "rows of lighted lamps" - houses, shops and public places are decorated with small oil lamps called diyas.
There are also loads of fireworks and sweets too, so it's really popular with children.
Ayshah has been to the Curve Theatre in Leicester to meet a dance group practising for their special festival performance.
But did Ayshah manage to master the moves? Find out...
Diwali, the Hindu festival of lights, is the most popular of all the festivals from South Asia.