Psyche's adventure takes her just about everywhere in the world of Greco-Roman mythology. She starts at in the mortal world, then goes to live with Cupid in his magical palace, eventually heads to the underworld, and finally ends up with the gods on Mt. Olympus.
The first setting we spend a lot of time in is Cupid's palace, where Psyche is whisked away after her parents abandon her on a mountaintop. At first, Psyche is blown away with all the amazing riches in the palace. For real, this place is swank – priceless art, mounds of treasure, and to top it off there are invisible servants who give Psyche anything she wants. Eventually, however, Psyche comes to see the palace as a beautiful prison. Sure, it's amazing and she's totally taken care of, but without any other human contact, she ends up feeling sad and alone.
The other key location in the story is realm of the dead, where Venus orders Psyche to travel to in order to bring back a box of Proserpine's (Persephone's) beauty. Traveling in this dark and deadly land is the final and most difficult task that our heroine must complete in order to regain her love. In this way the tale of "Cupid and Psyche" parallels many, many, many other myths. Psyche is definitely not the only heroine (or hero) who's ever had to travel to the underworld to fulfill their quest. Odysseus, Orpheus, Hercules and many others were said to have journeyed to Hades.
Finally, when Psyche achieves her goal and wins back Cupid's love and trust, she gets the ultimate reward: Cupid takes her to Mt. Olympus to become a goddess. Mt. Olympus was the home of the gods, and pretty much the most awesome place in all of Greco-Roman mythology. We know our heroine has achieved her "happily ever after" when she makes it here.