Concept:
Gandhi Sagar Dam is one of the major dams in India and is part of the Chambal Valley Project.
• It is built across the Chambal River.
• Located in Madhya Pradesh.
• Used for irrigation and hydroelectric power generation.
Step 1: Identify the river on which Gandhi Sagar Dam is constructed.
The dam is built on:
Chambal River
Hence, the correct answer is:
\[
\boxed{\text{The Chambal}}
\]