Where It All Goes Down
A Boxcar (Duh)
It's not quite a van down by the river, but it's close. The book is named for the abandoned boxcar in which the kids make their home, so it makes sense that it's the most important part of the setting.
In the beginning, when the kids find the boxcar, it's in a deserted forest. "It is far away from people," Jessie observes. "You can tell that by the grass in the road" (2.38). While it begins as a makeshift home for the orphans, over the course of the book, the boxcar goes on a journey much like the children themselves. When the Alden kids rejoin society by going to live with their grandfather, the boxcar is hauled into one of his many gardens. In its new home, it will serve as a playhouse instead of a literal home, a symbol of both the hardship from which they came and the comfort in which they now live.
In terms of geography, the book names two specific towns, Silver City (where Dr. Moore lives) and Greenfield (where Mr. Alden lives), neither of which exist in real life. Many readers have assumed the story is set somewhere in New England, but there are no sure signs that's true, unless you count the fact that the author lived in Connecticut. All we really know is that there are farms, mills, and forests—and many regions in the U.S. fit that description.
What we can say with confidence is that the story is set around the time the book was written, in 1924. The main clue is that Dr. Moore drives a car, while the baker and his wife use a horse and buggy. The children even encounter a special water fountain with three levels to accommodate people, horses, and dogs. The 1920s were a time in American history when both types of vehicles were on the road. Other clues that the book was written at this time include its quaint language (e.g., socks are referred to as "stockings") and the outdated gender roles played by Henry, the big, strong boy who does all the work, and Jessie, the sweet girl who cooks and cleans.