This site is a bit difficult to get to. The locals have built fences and have fields all around it. First option is from a gate on the way to Teen Dasiyon Ka Mahal , you will have to cross a field and cross a unidentified structure. The second option is from Panch Mahadev Mandir , this place is very close to it. But you will have to find a gap in a fence near Panch Mahadev Mandir.
According to MP Tourism "The rooms have short doors and cave like. Originally it was a ‘ math’ inhabited by Sidhhas i.e. saints. The building is attributed to 16th century A.D.". The low doors is why it is called a 'cave'. It's possible to climb to the upper level. In one room there is no floor but it has a deep 'well' - be careful.
One of the 'low doors' :-)
The room that has something like a well instead of a floor.