Okay, we know that Shakespeare whipped up Sonnet 29 while living in England in the 1590s, but he doesn't specify an exact time or geographical location for this poem. Basically, all the drama in this sonnet is happening inside the speaker's head. In other words, Shakespeare creates a setting that is the speaker's emotional environment. He feels "all alone" (2), emotionally and physically. He's isolated from God (3), feels like a social "outcast" (2), and is physically separated from someone ("thee") who loves him (10, 13).
What's interesting is that the speaker's feelings of isolation and despair are so universal and timeless that we can imagine him uttering the lines of this sonnet from just about anywhere (like, say, the unbelievably dark and messy room of a depressed teenager who's been listening to emo music and staring off into space for hours on end). We can totally imagine the speaker of Sonnet 29 spilling his guts to us from some dank, depressing place—like a dark and lonely prison cell. Heck, we've even seen this sonnet turned into a short film that takes place on the modern-day streets of London.
So, what setting do you imagine when you read this sonnet? Wherever that might be, one thing's for sure: our speaker's in a bad place (at least to begin with).