A lot of people say that Indiana is conservative/Republican because of its rural-ness, but actually many states are more rural and less Republican than Indiana (including Midwestern states such as Minn., Iowa, and Wisc.)
Perhaps Indiana is Republican because it has relatively few ethnic whites, Hispanics, or Asians.
Minnesota has the twin cities and the Duluth/Northeast area, all of which are heavily Democratic. These can and do outvote the rural and suburban regions
Iowa has Des Moines and blue collar cities such as Davenport and Iowa City.
Wisconsin has the liberal bastion of Madison, plus Milwaukee.
Indiana basically just has a small, but very deprived city, Gary, and urban Indianapolis.
WI & MN are not quite as rural in that there is a large liberal urban element in both. IA is probably as rural as Indiana, however it has a smattering of industrial, blue collar towns, which Indiana doesn't have. Basically the Democratic elements in Indiana are massively outvoted. I'm sure if Indianapolis doubled in size the state would be safely Democrat.