Which state’s capital is known for hosting the annual Kentucky Derby?

The capital known for hosting the annual Kentucky Derby is in Kentucky. The Kentucky Derby, often referred to as "The Most Exciting Two Minutes in Sports," takes place at Churchill Downs in Louisville, which is the largest city in Kentucky. The derby has a significant cultural and historical impact, showcasing the state's long-standing association with thoroughbred horse racing.

While Tennessee, West Virginia, and Missouri each have their own capitals and notable events or attractions, none host the famous Kentucky Derby. For example, Nashville is the capital of Tennessee and is known for its music scene, while Charleston serves as the capital of West Virginia and is more widely recognized for its historical significance and political importance. Missouri's capital, Jefferson City, does not have the same equestrian reputation as Kentucky. Thus, the correct connection between the event and the state is firmly aligned with Kentucky.