One of the main attractions is the selection of rides on offer but with over 70 stalls this year, there is plenty to do and buy.
Vendors have a variety of items for sale, including unique gifts, personal handmade items and stocking fillers, while some stalls serve up food and drink.
Last year, National Geographic named it the best Christmas market in Europe to visit by train.
As Christmas markets tend to be a pricey activity, Edinburgh Live headed out with £20 to see how far the cash would stretch.
Many of the items are handmade and sold by independent vendors so there is a slight surcharge in return for quality. Gifts are slightly more expensive to buy at the market than a shop.
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Food on offer includes Bratwursts and roasted chestnuts to the more exotic Peruvian empanadas and traditional Indian cuisine.
A number of stalls have mulled wine and cider for sale, as well as different varieties of hot chocolate.
There were stalls selling Christmas baubles, hanging fragrances for trees and socks, but the first item we purchased was a £5 mystery box containing unknown items.
Inside the package was a bizarre combination of a penguin hat, a children’s woolly hat, a comb, Union Jack shoe laces and rosary beads.
The next festive treat was a small mulled cider drink, costing £7. It did feel a touch on the steep side - especially considering they were rather small.
After exploring a number of stalls, glossing over bauble embroidery kits, gloves and Bratwursts, the last thing purchased within the £20 budget was a Christmas present pin that said 'cat’a’tonic'.
The three items cost £19.50 and nothing was on offer at the markets worth 50p. To wrap it all up we'd say that if money is not an issue then you can feast and gulp to your hearts content whilst indulging in some personal high quality gifts that will be appreciated by your loved ones at this year's Christmas Market.
The Edinburgh Christmas Market will be open until January 6.
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