Raksha Bandhan (Rakhi Festival) is also mentioned in Mahabharat. Dharmaraj or Yudhistira, the elder brother among Pandavas, asked Lord Krishna to refer him a ritual to protect himself, his family and army from dangerous acts of Kauravas and Kaurav Sena (the army of Kauravas). On Shravan Purnima, Yudhishtira performed a puja and tied a sacred thread on to his hand.
Mahabharata is also mentioned about the Rakhi Festival or Raksha Bandhan celebrated by Draupadi or Panchali. Draupadi tied Rakhi to Lord Krishna and when Draupadi was in trouble with Kauravas Krishna protected him. It is also mentioned that Kunti, the Pandava Mata, tied Rakhi to Abhimanyu, the son of Arjuna.
In some Puranas it is also mentioned that Rakhi Festival or Rakshabandhan is also celebrated by Lord Yama and his sister Yamuna.