The first stanza doesn’t seem to have a definite location. It refers to medieval falconing, so we can imagine a guy calling to a bird in some forest or meadow, trying to catch some deer or rabbits to bring back his lord. There’s also a description of violence that is vaguely reminiscent of the Biblical flood. But, from the perspective of the speaker, the setting is post-WWI Europe, circa 1919. He’s taking an overview of the devastation wrecked on the continent.
In the second stanza, the setting abruptly shifts to Spiritus Mundi, as the speaker has a vision of a desert with a sphinx-like creature and some birds. It’s all very cloudy, which makes sense because the speaker is essentially looking into his crystal ball here. In line 18, "the darkness drops again," but we get one more image of the beast "slouching towards Bethlehem." This might be described as a memory, echo, or "after-shock" of the Spiritus Mundi vision. All in all, the poet bounces around in various mental locations without really landing anywhere specific. That’s probably a good thing, because something is seriously out of whack in this "world."