The play takes place all over the Roman Empire, ranging from Parthia (modern day Iraq), Athens, Syria and beyond to various battlefields. The main action, however, occurs in Rome with Caesar and in Egypt with Antony and Cleopatra. The setting is crucial in this play, and for a long time it was criticized as being erratic for having so many short scenes set all over the Empire (with 42 scenes, it ranks in the highest of Shakespeare’s scene settings). This used to be dizzying and a little hard to follow for the audience of the stage. The ease of depicting scene changes in the modern world has made the play a bit easier to follow, and reveals that Shakespeare, like in the pastorals, allows the scene to set the tone for the players and play.
Egypt is characterized by the decadence of both its landscape and people, and is naturalness (as though the people were following the lead of the lush land). Rome is presented in contrast, as a cool and level-headed place, where political concerns and bureaucracy organize the action, and reason rules the people as well as the republic. This is made clear to us when Cleopatra speaks of Antony having had "a Roman thought." This dichotomy of setting organizes the actions into the two frameworks of the play: on one level, the people and the action are ruled by their natural passions, and on another level, they’re governed by the reason and order of civil government and Roman austerity.