The U.S. is set to mark Martin Luther King Jr. Day, the federal holiday set aside to honor the life of the civil rights icon. But in two states, Monday is also Robert E. Lee Day in honor of the Confederate general. Alabama and Mississippi recognize both King and Lee on the third Monday in January. The two states created holidays more than a century ago to honor Lee. The states later combined the day with the federal holiday established in the 1980s to honor King.