Yes, it's a gully. And yes, there's a waterfall at the end of it – a rather spectacular 30m-tall one, too, especially if it's been raining in the Adelaide Hills. The waterfall is actually called First Falls – the first of seven along the steep hike from here up to the top of Mt Lofty (710m), the highest point in the Mt Lofty Ranges (aka the Adelaide Hills). It's a 10km drive west of the centre of Adelaide, via Greenhill Rd.