The mid-point \( M \) of a line segment joining two points \( A(x_1, y_1) \) and \( B(x_2, y_2) \) is given by the formula:
\[
M = \left( \frac{x_1 + x_2}{2}, \frac{y_1 + y_2}{2} \right).
\]
Substitute \( A (-2, 8) \) and \( B (-6, -4) \):
\[
M = \left( \frac{-2 + (-6)}{2}, \frac{8 + (-4)}{2} \right) = \left( \frac{-8}{2}, \frac{4}{2} \right) = (-4, 2).
\]
Thus, the correct answer is \( \boxed{(-4, 2)} \).