Luckily, Blake lays the setting out for us pretty clearly in the first line. We're "among the snow," where a young chimney sweeper waits for his parents to get out of a nearby church.
So let's zoom out for a minute. It's winter, and it's late 18th-century England. Being a chimney sweeper is just about as bad a life as a kid could choose. And, if you're Blake, the plight of the chimney sweeper is a grave injustice. These kids have no say in their lives. According to Blake, they've been abandoned by their parents, by the Church, by the government, and even by God.
In other words, it ain't a nice world to grow up in. And yet, that's exactly the world this little kid finds himself in. For more on this world, check out Blake's other "The Chimney Sweeper"—the Songs of Innocence version.