The action in Orlando is located primarily in England, though Orlando takes a brief trip to Constantinople, where his sex change takes place.
The really big enchilada of the setting is its timescale. The novel begins in the 16th century and ends in the 20th, allowing us to see how Orlando responds to the different social pressures of different societies. This is particularly important during the Victorian era, when the pressure on Orlando to marry is absolutely unbearable. Other than the Victorian times, however, Orlando pretty much does his (or her) own thing. That thing is typically writing, but Orlando is also deeply invested in nature and the English countryside. Luckily for Orlando, the countryside doesn’t change much over the centuries, and this allows him to have a sense of constancy. Despite this, the sights and sounds of London also frequently come in as a backdrop to Orlando’s various shenanigans.
Last but not least, we would argue one of the more compelling settings of the book is the nomadic gipsy life. During her time with the gipsies, Orlando lived freely on the land and freely as a woman. In gipsy society, the fact of her sex did not matter at all, which contrasts heavily with English society, where being a woman meant bulky petticoats and restrictive laws against property ownership.