Alor Setar is the state capital of Kedah, Malaysia. It is the second-largest city in the state after Sungai Petani and one of the most-important citiā¦Alor Setar is the state capital of Kedah, Malaysia. It is the second-largest city in the state after Sungai Petani and one of the most-important cities on the west coast of Peninsular Malaysia. It is home to the third-tallest tower in Malaysia, the Alor Setar Tower.