This paper addresses the growing threat of cyber intrusions in the Indian electricity markets, drawing attention to documented instances of cyberattacks on critical infrastructure. In order to maintain the integrity of the electrical markets, it emphasizes the urgent necessity for strong cybersecurity measures. It is suggested to use both supervised and unsupervised machine learning (ML) techniques to reduce cyber hazards, with a particular emphasis on detecting false data injection (FDI) in power markets. The intricate relationship between market dynamics and cybersecurity threats is examined, underscoring the critical need of putting comprehensive policies into place to address vulnerabilities found in this important industry. The study promotes proactive actions to counter cyberattacks and improve the resilience of the infrastructure supporting the electricity market by integrating innovative machine learning technologies. The findings emphasize the need for comprehensive cybersecurity measures to ensure the safe and continuing operation of the Indian electricity markets in the face of changing cyber threats.